ql/experimental/exoticoptions/margrabeoption.hpp File Reference

Margrabe option on two assets. More...

#include <ql/instruments/multiassetoption.hpp>
Include dependency graph for margrabeoption.hpp:

Classes

class  MargrabeOption
 Margrabe option on two assets. More...
class  MargrabeOption::arguments
 Extra arguments for Margrabe option. More...
class  MargrabeOption::results
 Extra results for Margrabe option. More...
class  MargrabeOption::engine
 Margrabe option engine base class More...

Detailed Description

Margrabe option on two assets.