Searched refs:ForwardVanillaOption (Results 1 – 8 of 8) sorted by relevance
| /dports/finance/quantlib/QuantLib-1.20/ql/instruments/ |
| H A D | forwardvanillaoption.cpp | 25 ForwardVanillaOption::ForwardVanillaOption( in ForwardVanillaOption() function in QuantLib::ForwardVanillaOption
33 void ForwardVanillaOption::setupArguments( in setupArguments()
36 ForwardVanillaOption::arguments* arguments = in setupArguments()
37 dynamic_cast<ForwardVanillaOption::arguments*>(args); in setupArguments()
45 void ForwardVanillaOption::fetchResults( in fetchResults()
48 const ForwardVanillaOption::results* results = in fetchResults()
49 dynamic_cast<const ForwardVanillaOption::results*>(r); in fetchResults()
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| H A D | quantoforwardvanillaoption.hpp | 35 class QuantoForwardVanillaOption : public ForwardVanillaOption {
37 typedef ForwardVanillaOption::arguments arguments;
38 typedef QuantoOptionResults<ForwardVanillaOption::results> results;
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| H A D | quantoforwardvanillaoption.cpp | 30 : ForwardVanillaOption(moneyness, resetDate, payoff, exercise) {} in QuantoForwardVanillaOption()
54 ForwardVanillaOption::setupExpired(); in setupExpired()
60 ForwardVanillaOption::fetchResults(r); in fetchResults()
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| H A D | forwardvanillaoption.hpp | 48 class ForwardVanillaOption : public OneAssetOption { class
52 ForwardVanillaOption(Real moneyness,
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| /dports/finance/quantlib/QuantLib-1.20/test-suite/ |
| H A D | forwardoption.cpp | 123 ForwardVanillaOption option(values[i].moneyness, reset, in testValues()
190 ForwardVanillaOption option(values[i].moneyness, reset, in testPerformanceValues()
263 ForwardVanillaOption option(moneyness[j], reset, in testForwardGreeks()
426 ForwardVanillaOption option(0.9, reset, payoff, exercise); in testGreeksInitialization()
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| H A D | squarerootclvmodel.cpp | 423 const ext::shared_ptr<ForwardVanillaOption> fwdOption( in values()
424 ext::make_shared<ForwardVanillaOption>( in values()
677 const ext::shared_ptr<ForwardVanillaOption> fwdOption( in testForwardSkew()
678 ext::make_shared<ForwardVanillaOption>( in testForwardSkew()
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| H A D | quantooption.cpp | 545 new QuantoEngine<ForwardVanillaOption, in testForwardValues()
635 new QuantoEngine<ForwardVanillaOption, in testForwardGreeks()
839 new QuantoEngine<ForwardVanillaOption, in testForwardPerformanceValues()
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| H A D | hestonslvmodel.cpp | 2264 const ext::shared_ptr<ForwardVanillaOption> fwdOption( in testForwardSkewSLV()
2265 ext::make_shared<ForwardVanillaOption>( in testForwardSkewSLV()
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