- 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.