1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2002, 2003 Ferdinando Ametrano
5 Copyright (C) 2007 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file quantovanillaoption.hpp
22 \brief Quanto version of a vanilla option
23*/
24
25#ifndef quantlib_quanto_vanilla_option_hpp
26#define quantlib_quanto_vanilla_option_hpp
27
28#include <ql/instruments/oneassetoption.hpp>
29#include <ql/instruments/payoffs.hpp>
30
31namespace QuantLib {
32
33 //! %Results from quanto option calculation
34 template<class ResultsType>
35 class QuantoOptionResults : public ResultsType {
36 public:
37 QuantoOptionResults() { reset() ;}
38 void reset() override {
39 ResultsType::reset();
40 qvega = qrho = qlambda = Null<Real>();
41 }
42 Real qvega;
43 Real qrho;
44 Real qlambda;
45 };
46
47 //! quanto version of a vanilla option
48 /*! \ingroup instruments */
49 class QuantoVanillaOption : public OneAssetOption {
50 public:
51 typedef OneAssetOption::arguments arguments;
52 typedef QuantoOptionResults<OneAssetOption::results> results;
53 typedef GenericEngine<arguments, results> engine;
54 QuantoVanillaOption(const ext::shared_ptr<StrikedTypePayoff>&,
55 const ext::shared_ptr<Exercise>&);
56 //! \name greeks
57 //@{
58 Real qvega() const;
59 Real qrho() const;
60 Real qlambda() const;
61 //@}
62 void fetchResults(const PricingEngine::results*) const override;
63
64 private:
65 void setupExpired() const override;
66 // results
67 mutable Real qvega_, qrho_, qlambda_;
68 };
69
70}
71
72
73#endif
74

source code of quantlib/ql/instruments/quantovanillaoption.hpp