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

Files

file  analyticamericanmargrabeengine.hpp
 Analytic engine for American Margrabe option.
 
file  analyticcomplexchooserengine.hpp
 Analytic engine for complex chooser option.
 
file  analyticcompoundoptionengine.hpp
 Analytic compound option engines.
 
file  analyticeuropeanmargrabeengine.hpp
 Analytic engine for European Margrabe option.
 
file  analyticholderextensibleoptionengine.hpp
 Analytic engine for holder-extensible options.
 
file  analyticpartialtimebarrieroptionengine.hpp
 Analytic engine for partial-time barrier options.
 
file  analyticpdfhestonengine.hpp
 Analytic engine for arbitrary European payoffs under the Heston model.
 
file  analyticsimplechooserengine.hpp
 Analytic engine for simple chooser option.
 
file  analytictwoassetbarrierengine.hpp
 Analytic engine for barrier option on two assets.
 
file  analytictwoassetcorrelationengine.hpp
 Analytic engine for two-asset correlation options.
 
file  analyticwriterextensibleoptionengine.hpp
 Analytic engine for writer-extensible options.
 
file  complexchooseroption.hpp
 Complex chooser option.
 
file  compoundoption.hpp
 Compound option on a single asset.
 
file  continuousarithmeticasianlevyengine.hpp
 Levy engine for continuous arithmetic Asian options.
 
file  continuousarithmeticasianvecerengine.hpp
 Vecer engine for continuous arithmetic Asian options.
 
file  everestoption.hpp
 Everest option on a number of assets.
 
file  himalayaoption.hpp
 Himalaya option on a number of assets.
 
file  holderextensibleoption.hpp
 Holder-extensible option.
 
file  kirkspreadoptionengine.hpp
 Kirk approximation for European spread option on futures.
 
file  margrabeoption.hpp
 Margrabe option on two assets.
 
file  mceverestengine.hpp
 Monte Carlo engine for Everest options.
 
file  mchimalayaengine.hpp
 Monte Carlo engine for Himalaya options.
 
file  mcpagodaengine.hpp
 Monte Carlo engine for pagoda options.
 
file  pagodaoption.hpp
 Roofed Asian option on a number of assets.
 
file  partialtimebarrieroption.hpp
 Partial-time barrier option.
 
file  simplechooseroption.hpp
 Simple chooser option on a single asset.
 
file  spreadoption.hpp
 Spread option on two assets.
 
file  twoassetbarrieroption.hpp
 Barrier option on two assets.
 
file  twoassetcorrelationoption.hpp
 Two-asset correlation option.
 
file  writerextensibleoption.hpp
 Writer-extensible option.