ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.hpp File Reference

Analytic engine for European Margrabe option. More...

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

Classes

class  AnalyticEuropeanMargrabeEngine
 Analytic engine for European Margrabe option. More...

Detailed Description

Analytic engine for European Margrabe option.