ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp File Reference

Analytic engine for American Margrabe option. More...

#include <ql/experimental/exoticoptions/margrabeoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Include dependency graph for analyticamericanmargrabeengine.hpp:

Classes

class  AnalyticAmericanMargrabeEngine
 Analytic engine for American Margrabe option. More...

Detailed Description

Analytic engine for American Margrabe option.