Quanto Options

class xf::fintech::CFQuanto

#include "xf_fintech_quanto.hpp"

Overview

class CFQuanto: public xf::fintech::CFBlackScholes

// fields

KDataType* domesticRate
KDataType* foreignRate
KDataType* dividendYield
KDataType* exchangeRate
KDataType* exchangeRateVolatility
KDataType* correlation

Inherited Members

// typedefs

typedef float KDataType

// fields

KDataType* stockPrice
KDataType* strikePrice
KDataType* volatility
KDataType* riskFreeRate
KDataType* timeToMaturity
KDataType* optionPrice
KDataType* delta
KDataType* gamma
KDataType* vega
KDataType* theta
KDataType* rho

Methods

run

int run (
    OptionType optionType,
    unsigned int numAssets
    )

This method is used to begin processing the asset data that is in the input buffers. If this function returns successfully, calculated results are available in the output buffers.

Parameters:

optionType	The option type of ALL the assets data
numAssets	The number of assets to process.