stulzengine.hpp

Langue: en

Autres versions - même langue

Version: 379727 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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