ForwardVanillaEngine Class Template Reference
[Forward option engines]
Forward engine for vanilla options
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#include <ql/pricingengines/forward/forwardengine.hpp>
Inheritance diagram for ForwardVanillaEngine:

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.