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

Public Member Functions | |
ForwardPerformanceVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) | |
void | calculate () const |
Protected Member Functions | |
void | getOriginalResults () const |
Detailed Description
template<class Engine>
class QuantLib::ForwardPerformanceVanillaEngine< Engine >
Forward performance 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.