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

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.