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QuantLib_AnalyticCompoundOptionEngine
Langue: en
Version: 375575 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::AnalyticCompoundOptionEngine -Pricing engine for compound options using analytical formulae.
SYNOPSIS
#include <ql/experimental/compoundoption/analyticcompoundoptionengine.hpp>
Inherits QuantLib::CompoundOption::engine.
Public Member Functions
AnalyticCompoundOptionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void calculate () const
Detailed Description
Pricing engine for compound options using analytical formulae.
The formulas are taken from 'Foreign Exchange Risk', Uwe Wystup, Risk 2002, where closed form Greeks are available. (not available in Haug 2007). Value: Page 84, Greeks: Pages 94-95.
Tests
- the correctness of the returned value is tested by reproducing results available in literature.
Author
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