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stulzengine.hpp
Langue: en
Version: 379727 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/pricingengines/basket/stulzengine.hpp -2D European Basket formulae, due to Stulz (1982)
SYNOPSIS
#include <ql/instruments/basketoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Classes
class StulzEngine
Pricing engine for 2D European Baskets.
Detailed Description
2D European Basket formulae, due to Stulz (1982)
Author
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