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analyticcompoundoptionengine.hpp File Reference


Detailed Description

Analytic compound option engines.

Definition in file analyticcompoundoptionengine.hpp.

#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>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::AnalyticCompoundOptionEngine
 Pricing engine for compound options using analytical formulae. More...
class  QuantLib::ImpliedSpotHelper


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