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analyticcompoundoptionengine.hpp
Langue: en
Version: 374286 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/experimental/compoundoption/analyticcompoundoptionengine.hpp -Analytic compound option engines.
SYNOPSIS
#include <ql/experimental/compoundoption/compoundoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/bivariatenormaldistribution.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <ql/pricingengines/blackcalculator.hpp>
Classes
class AnalyticCompoundOptionEngine
Pricing engine for compound options using analytical formulae.
Detailed Description
Analytic compound option engines.
Author
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