QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
basket Directory Reference

Files

file  fd2dblackscholesvanillaengine.hpp
 Finite-Differences 2 dim Black Scholes vanilla option engine.
 
file  kirkengine.hpp
 kirk formulae, due to Kirk (1995)
 
file  mcamericanbasketengine.hpp
 Least-square Monte Carlo engines.
 
file  mceuropeanbasketengine.hpp
 European basket MC Engine.
 
file  stulzengine.hpp
 2D European Basket formulae, due to Stulz (1982)