QuantLib_StulzEngine

Langue: en

Autres versions - même langue

Version: 373312 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::StulzEngine -

Pricing engine for 2D European Baskets.

SYNOPSIS


#include <ql/pricingengines/basket/stulzengine.hpp>

Inherits QuantLib::BasketOption::engine.

Public Member Functions


StulzEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, Real correlation)

void calculate () const

Detailed Description

Pricing engine for 2D European Baskets.

This class implements formulae from 'Options on the Minimum or the Maximum of Two Risky Assets', Rene Stulz, Journal of Financial Ecomomics (1982) 10, 161-185.

Tests

the correctness of the returned value is tested by reproducing results available in literature.

Author

Generated automatically by Doxygen for QuantLib from the source code.