Analytic engine for European Margrabe option. More...
#include <ql/experimental/exoticoptions/margrabeoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Classes | |
class | AnalyticEuropeanMargrabeEngine |
Analytic engine for European Margrabe option. More... |
Analytic engine for European Margrabe option.