class Quanto

#include "xf_fintech_quanto.hpp"

Overview

This class implements the Quanto model.

The parameter passed to the constructor controls the size of the underlying buffers that will be allocated. This prameter therefore controls the maximum number of assets that can be processed per call to run()

It is intended that the user will populate the input buffers with appropriate asset data prior to calling run() When run completes, the calculated output data will be available in the relevant output buffers.