ForwardPerformanceVanillaEngine< Engine > Class Template Reference

Forward performance engine for vanilla options More...

#include <ql/pricingengines/forward/forwardperformanceengine.hpp>

Inheritance diagram for ForwardPerformanceVanillaEngine< Engine >:

List of all members.

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.