Vanilla option engines
[Pricing engines]
Classes | |
class | AnalyticDigitalAmericanEngine |
class | AnalyticDividendEuropeanEngine |
Analytic pricing engine for European options with discrete dividends. More... | |
class | AnalyticEuropeanEngine |
Pricing engine for European vanilla options using analytical formulae. More... | |
class | AnalyticHestonEngine |
analytic Heston-model engine based on Fourier transform More... | |
class | BaroneAdesiWhaleyApproximationEngine |
class | BatesEngine |
Bates model engines based on Fourier transform. More... | |
class | BinomialVanillaEngine |
Pricing engine for vanilla options using binomial trees. More... | |
class | BjerksundStenslandApproximationEngine |
class | FDBermudanEngine |
Finite-differences Bermudan engine. More... | |
class | FDDividendEngineMerton73 |
Finite-differences pricing engine for dividend options using. More... | |
class | FDDividendEngineShiftScale |
Finite-differences pricing engine for dividend options using. More... | |
class | FDEuropeanEngine |
Pricing engine for European options using finite-differences. More... | |
class | FDStepConditionEngine |
Finite-differences pricing engine for American-style vanilla options. More... | |
class | IntegralEngine |
class | JumpDiffusionEngine |
Jump-diffusion engine for vanilla options. More... | |
class | JuQuadraticApproximationEngine |
class | MCDigitalEngine |
Pricing engine for digital options using Monte Carlo simulation. More... | |
class | MCEuropeanEngine |
European option pricing engine using Monte Carlo simulation. More... | |
class | MCEuropeanHestonEngine |
Monte Carlo Heston-model engine for European options. More... | |
class | MCVanillaEngine |
Pricing engine for vanilla options using Monte Carlo simulation. More... | |
Typedefs | |
typedef FDEngineAdapter< FDAmericanCondition< FDStepConditionEngine >, OneAssetOption::engine > | QuantLib::FDAmericanEngine |
Finite-differences pricing engine for American one asset options. | |
typedef FDEngineAdapter< FDAmericanCondition< FDDividendEngine >, DividendVanillaOption::engine > | QuantLib::FDDividendAmericanEngine |
Finite-differences pricing engine for dividend American options. | |
typedef FDEngineAdapter< FDDividendEngine, DividendVanillaOption::engine > | QuantLib::FDDividendEuropeanEngine |
Finite-differences pricing engine for dividend European options. | |
typedef FDEngineAdapter< FDShoutCondition< FDDividendEngine >, DividendVanillaOption::engine > | QuantLib::FDDividendShoutEngine |
Finite-differences shout engine with dividends. | |
typedef FDEngineAdapter< FDShoutCondition< FDStepConditionEngine >, VanillaOption::engine > | QuantLib::FDShoutEngine |
Finite-differences pricing engine for shout vanilla options. |
Typedef Documentation
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Finite-differences pricing engine for American one asset options.
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Finite-differences pricing engine for dividend American options.
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Finite-differences pricing engine for dividend European options.
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Finite-differences shout engine with dividends.
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Finite-differences pricing engine for shout vanilla options.
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