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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