/usr/include/ql/instruments/quantoforwardvanillaoption.hpp is in libquantlib0-dev 1.12-1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 Ferdinando Ametrano
Copyright (C) 2007 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file quantoforwardvanillaoption.hpp
\brief Quanto version of a forward vanilla option
*/
#ifndef quantlib_quanto_forward_vanilla_option_h
#define quantlib_quanto_forward_vanilla_option_h
#include <ql/instruments/quantovanillaoption.hpp>
#include <ql/instruments/forwardvanillaoption.hpp>
namespace QuantLib {
//! Quanto version of a forward vanilla option
/*! \ingroup instruments */
class QuantoForwardVanillaOption : public ForwardVanillaOption {
public:
typedef ForwardVanillaOption::arguments arguments;
typedef QuantoOptionResults<ForwardVanillaOption::results> results;
QuantoForwardVanillaOption(Real moneyness,
const Date& resetDate,
const boost::shared_ptr<StrikedTypePayoff>&,
const boost::shared_ptr<Exercise>&);
//! \name greeks
//@{
Real qvega() const;
Real qrho() const;
Real qlambda() const;
//@}
void fetchResults(const PricingEngine::results*) const;
private:
void setupExpired() const;
// results
mutable Real qvega_, qrho_, qlambda_;
};
}
#endif
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