Quanto engine. More...
#include <ql/pricingengines/quanto/quantoengine.hpp>
Inheritance diagram for QuantoEngine< Instr, Engine >:Public Member Functions | |
| QuantoEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, const Handle< YieldTermStructure > &foreignRiskFreeRate, const Handle< BlackVolTermStructure > &exchangeRateVolatility, const Handle< Quote > &correlation) | |
| void | calculate () const |
Public Member Functions inherited from GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Protected Attributes | |
| boost::shared_ptr< GeneralizedBlackScholesProcess > | process_ |
| Handle< YieldTermStructure > | foreignRiskFreeRate_ |
| Handle< BlackVolTermStructure > | exchangeRateVolatility_ |
| Handle< Quote > | correlation_ |
Protected Attributes inherited from GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > > | |
| Instr::arguments | arguments_ |
| QuantoOptionResults< Instr::results > | results_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Quanto engine.