Pricing engine for 2D European Baskets. More...
#include <ql/pricingengines/basket/stulzengine.hpp>
Public Member Functions | |
StulzEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, Real correlation) | |
void | calculate () const |
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PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
Additional Inherited Members | |
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typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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BasketOption::arguments | arguments_ |
BasketOption::results | results_ |
Pricing engine for 2D European Baskets.
This class implements formulae from "Options on the Minimum or the Maximum of Two Risky Assets", Rene Stulz, Journal of Financial Ecomomics (1982) 10, 161-185.