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