ql/experimental/compoundoption/analyticcompoundoptionengine.hpp File Reference

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>

Include dependency graph for analyticcompoundoptionengine.hpp:


Classes

class  AnalyticCompoundOptionEngine
 Pricing engine for compound options using analytical formulae. More...

Detailed Description

Analytic compound option engines.