QuantoEngine< Instr, Engine > Class Template Reference

Quanto engine. More...

#include <ql/pricingengines/quanto/quantoengine.hpp>

Inheritance diagram for QuantoEngine< Instr, Engine >:

List of all members.

Public Member Functions

 QuantoEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, const Handle< YieldTermStructure > &foreignRiskFreeRate, const Handle< BlackVolTermStructure > &exchangeRateVolatility, const Handle< Quote > &correlation)
void calculate () const

Protected Attributes

boost::shared_ptr
< GeneralizedBlackScholesProcess
process_
Handle< YieldTermStructureforeignRiskFreeRate_
Handle< BlackVolTermStructureexchangeRateVolatility_
Handle< Quotecorrelation_

Detailed Description

template<class Instr, class Engine>
class QuantLib::QuantoEngine< Instr, Engine >

Quanto engine.

Warning:
for the time being, this engine will only work with simple Black-Scholes processes (i.e., no Merton.)
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.