ForwardVanillaEngine< Engine > Class Template Reference

Forward engine for vanilla options More...

#include <ql/pricingengines/forward/forwardengine.hpp>

Inheritance diagram for ForwardVanillaEngine< Engine >:

List of all members.

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::argumentsoriginalArguments_
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.