FutureOptionHelper Class Reference

Future Option Helper. More...

#include <qle/models/futureoptionhelper.hpp>

Inheritance diagram for FutureOptionHelper:

Public Member Functions
	FutureOptionHelper (const Period &maturity, const Calendar &calendar, const Real strike, const Handle< QuantExt::PriceTermStructure > priceCurve, const Handle< Quote > volatility, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError)
	FutureOptionHelper (const Date &exerciseDate, const Real strike, const Handle< QuantExt::PriceTermStructure > priceCurve, const Handle< Quote > volatility, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError)
void	addTimesTo (std::list< Time > &) const override
void	performCalculations () const override
Real	modelValue () const override
Real	blackPrice (Real volatility) const override
boost::shared_ptr< VanillaOption >	option () const
Real	strike () const
const Handle< QuantExt::PriceTermStructure > &	priceCurve () const

Detailed Description

Future Option Helper.