ForwardVanillaEngine< Engine > Class Template Reference
Forward engine for vanilla options More...
#include <ql/pricingengines/forward/forwardengine.hpp>
Inheritance diagram for ForwardVanillaEngine< Engine >:

Public Member Functions | |
ForwardVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) | |
void | calculate () const |
Protected Member Functions | |
void | setup () const |
void | getOriginalResults () const |
Protected Attributes | |
boost::shared_ptr < GeneralizedBlackScholesProcess > | process_ |
boost::shared_ptr< Engine > | originalEngine_ |
VanillaOption::arguments * | originalArguments_ |
const VanillaOption::results * | originalResults_ |
Detailed Description
template<class Engine>
class QuantLib::ForwardVanillaEngine< Engine >
Forward engine for vanilla options
- Tests:
- the correctness of the returned value is tested by reproducing results available in literature.
- the correctness of the returned greeks is tested by reproducing numerical derivatives.