AnalyticSimpleChooserEngine Class Reference

Pricing engine for European Simple Chooser option. More...

#include <ql/experimental/exoticoptions/analyticsimplechooserengine.hpp>

Inheritance diagram for AnalyticSimpleChooserEngine:

List of all members.

Public Member Functions

 AnalyticSimpleChooserEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void calculate () const

Detailed Description

Pricing engine for European Simple Chooser option.

This class implements a Simple Chooser Option option, with European exercise.