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file | americanpayoffatexpiry.hpp |
| Analytical formulae for american exercise with payoff at expiry.
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file | americanpayoffathit.hpp |
| Analytical formulae for american exercise with payoff at hit.
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file | blackcalculator.hpp |
| Black-formula calculator class.
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file | blackformula.hpp |
| Black formula.
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file | blackscholescalculator.hpp |
| Black-Scholes formula calculator class.
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file | genericmodelengine.hpp |
| Generic option engine based on a model.
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file | greeks.hpp |
| default greek calculations
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file | latticeshortratemodelengine.hpp |
| Engine for a short-rate model specialized on a lattice.
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file | mclongstaffschwartzengine.hpp |
| Longstaff Schwartz Monte Carlo engine for early exercise options.
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file | mcsimulation.hpp |
| framework for Monte Carlo engines
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