Analytic compound option engines. More...
#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. More... | |
Analytic compound option engines.