QuantoForwardVanillaOption Class Reference
[Financial instruments]

#include <ql/Instruments/quantoforwardvanillaoption.hpp>

Inheritance diagram for QuantoForwardVanillaOption:

Inheritance graph
[legend]
List of all members.

Detailed Description

Quanto version of a forward vanilla option.


Public Types

typedef QuantoOptionArguments<
ForwardVanillaOption::arguments
arguments
typedef QuantoOptionResults<
ForwardVanillaOption::results
results
typedef QuantoEngine< ForwardVanillaOption::arguments,
ForwardVanillaOption::results
engine

Public Member Functions

 QuantoForwardVanillaOption (const Handle< YieldTermStructure > &foreignRiskFreeTS, const Handle< BlackVolTermStructure > &exchRateVolTS, const Handle< Quote > &correlation, Real moneyness, Date resetDate, const boost::shared_ptr< StochasticProcess > &, const boost::shared_ptr< StrikedTypePayoff > &, const boost::shared_ptr< Exercise > &, const boost::shared_ptr< PricingEngine > &engine)
void setupArguments (Arguments *) const


Member Function Documentation

void setupArguments ( Arguments  )  const [virtual]

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from QuantoVanillaOption.