Forward (strike-resetting) vanilla-option engine. More...
#include <ql/instruments/forwardvanillaoption.hpp>#include <ql/instruments/vanillaoption.hpp>#include <ql/processes/blackscholesprocess.hpp>#include <ql/termstructures/volatility/equityfx/impliedvoltermstructure.hpp>#include <ql/termstructures/yield/impliedtermstructure.hpp>#include <ql/instruments/payoffs.hpp>#include <ql/exercise.hpp>
Classes | |
| class | ForwardVanillaEngine< Engine > |
| Forward engine for vanilla options More... | |
Forward (strike-resetting) vanilla-option engine.