Model[Quanto Option]


"Model[Quanto Option]" is a special type of Model
aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa
with functions Model[Quanto Option] Functions, keys Model[Quanto Option] keys and example object QOptMdl

TYPE INCLUSION RELATIONSHIPS

Model Exotic Option

Model Quanto Option

</defs>

AVAILABLE FUNCTIONS

Create

</defs>

AVAILABLE CREATE FUNCTION KEYS

Pricing Method

</defs>

TYPICAL OBJECTS OF TYPE Model[Quanto Option]

QOptMdl

</defs>

This type represents modelling assumptions relating to the type Quanto Option that may be needed during some valuation algorithm.
The pricing succeeds by any of 8 different methods listed in Quanto Option Pricing Methods

The following labels may be assigned to the key Output of the Price function in order for the latter to return the respective quantities.
List of valid values:
Delta
Refers to the output of QuantLib's delta function.


Gamma
Refers to the output of QuantLib's gamma function.


Price

The output is a number that represents the price - also known as NPV (Net Present Value) - of the referenced tradable as of the trade date
Note the applicable trade date equals the global trade date, except if overridden by the optional entry As Of
The cash flows occurring on the trade date are included only if Trade Date CFs is set to TRUE


Theta
Refers to the output of QuantLib's theta function.