- QuantLib
- QuantoEngine
Quanto engine. More...
#include <ql/pricingengines/quanto/quantoengine.hpp>
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< YieldTermStructure > | foreignRiskFreeRate_ |
Handle< BlackVolTermStructure > | exchangeRateVolatility_ |
Handle< Quote > | correlation_ |
Quanto engine.