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analyticeuropeanmargrabeengine.hpp File Reference

Analytic engine for European Margrabe option. More...

#include <ql/experimental/exoticoptions/margrabeoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
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Classes

class  QuantLib::AnalyticEuropeanMargrabeEngine
 Analytic engine for European Margrabe option. More...

Namespaces

namespace  QuantLib

Detailed Description

Analytic engine for European Margrabe option.

Definition in file analyticeuropeanmargrabeengine.hpp.


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