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Sourcecode: quantlib version File versions  Download package

quantoengine.hpp File Reference


Detailed Description

Quanto option engine.

Definition in file quantoengine.hpp.

#include <ql/pricingengine.hpp>
#include <ql/Processes/blackscholesprocess.hpp>
#include <ql/TermStructures/quantotermstructure.hpp>
#include <ql/Instruments/payoffs.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::QuantoEngine< ArgumentsType, ResultsType >
 Quanto engine base class. More...
class  QuantLib::QuantoOptionArguments< ArgumentsType >
 Arguments for quanto option calculation More...
class  QuantLib::QuantoOptionResults< ResultsType >
 Results from quanto option calculation More...


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