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.