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<li class="navelem"><a class="el" href="dir_958d2abebb9d0797c141a9841f9d5d39.html">ql</a></li><li class="navelem"><a class="el" href="dir_93ab397c2af4a2ac98e23912fb4cbbb8.html">pricingengines</a></li><li class="navelem"><a class="el" href="dir_67c8b98b57a7633ec46d01413150a44d.html">vanilla</a></li> </ul>
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<div class="title">vanilla Directory Reference</div> </div>
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<div class="contents">
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="files"></a>
Files</h2></td></tr>
<tr class="memitem:analyticbsmhullwhiteengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>analyticbsmhullwhiteengine.hpp</b></td></tr>
<tr class="memdesc:analyticbsmhullwhiteengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">analytic Black-Scholes engines including stochastic interest rates <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:analyticcevengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>analyticcevengine.hpp</b></td></tr>
<tr class="memdesc:analyticcevengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Pricing engine for European vanilla options using a constant elasticity of variance (CEV) model. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:analyticdigitalamericanengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>analyticdigitalamericanengine.hpp</b></td></tr>
<tr class="memdesc:analyticdigitalamericanengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">analytic digital American option engine <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:analyticdividendeuropeanengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>analyticdividendeuropeanengine.hpp</b></td></tr>
<tr class="memdesc:analyticdividendeuropeanengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Analytic discrete-dividend European engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:analyticeuropeanengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>analyticeuropeanengine.hpp</b></td></tr>
<tr class="memdesc:analyticeuropeanengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Analytic European engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:analyticgjrgarchengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>analyticgjrgarchengine.hpp</b></td></tr>
<tr class="memdesc:analyticgjrgarchengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">analytic GJR-GARCH-model engine <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:analytich1hwengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>analytich1hwengine.hpp</b></td></tr>
<tr class="memdesc:analytich1hwengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">analytic Heston-Hull-White engine based on the H1-HW approximation <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:analytichestonengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>analytichestonengine.hpp</b></td></tr>
<tr class="memdesc:analytichestonengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">analytic Heston-model engine <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:analytichestonhullwhiteengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>analytichestonhullwhiteengine.hpp</b></td></tr>
<tr class="memdesc:analytichestonhullwhiteengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">analytic heston engine incl. stochastic interest rates <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:analyticptdhestonengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>analyticptdhestonengine.hpp</b></td></tr>
<tr class="memdesc:analyticptdhestonengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">analytic piecewise time dependent Heston-model engine <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:baroneadesiwhaleyengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>baroneadesiwhaleyengine.hpp</b></td></tr>
<tr class="memdesc:baroneadesiwhaleyengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Barone-Adesi and Whaley approximation engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:batesengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>batesengine.hpp</b></td></tr>
<tr class="memdesc:batesengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">analytic Bates model engine <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:binomialengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>binomialengine.hpp</b></td></tr>
<tr class="memdesc:binomialengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Binomial option engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:bjerksundstenslandengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>bjerksundstenslandengine.hpp</b></td></tr>
<tr class="memdesc:bjerksundstenslandengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Bjerksund and Stensland approximation engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:coshestonengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>coshestonengine.hpp</b></td></tr>
<tr class="memdesc:coshestonengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Heston engine based on Fourier-Cosine series expansions. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:discretizedvanillaoption_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>discretizedvanillaoption.hpp</b></td></tr>
<tr class="memdesc:discretizedvanillaoption_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">discretized vanilla option <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:exponentialfittinghestonengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>exponentialfittinghestonengine.hpp</b></td></tr>
<tr class="memdesc:exponentialfittinghestonengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">analytic Heston-model engine based on exponential fitting <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:fdamericanengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>fdamericanengine.hpp</b></td></tr>
<tr class="memdesc:fdamericanengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences American option engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:fdbatesvanillaengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>fdbatesvanillaengine.hpp</b></td></tr>
<tr class="memdesc:fdbatesvanillaengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Partial Integro Finite-Differences Bates vanilla option engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:fdbermudanengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>fdbermudanengine.hpp</b></td></tr>
<tr class="memdesc:fdbermudanengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">finite-difference Bermudan engine <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:fdblackscholesvanillaengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>fdblackscholesvanillaengine.hpp</b></td></tr>
<tr class="memdesc:fdblackscholesvanillaengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Finite-Differences Black Scholes vanilla option engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:fdcevvanillaengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>fdcevvanillaengine.hpp</b></td></tr>
<tr class="memdesc:fdcevvanillaengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Finite-Differences pricing engine for the CEV model. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:fdcirvanillaengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>fdcirvanillaengine.hpp</b></td></tr>
<tr class="memdesc:fdcirvanillaengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Finite-Differences CIR vanilla option engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:fdconditions_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>fdconditions.hpp</b></td></tr>
<tr class="memdesc:fdconditions_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Finite-difference templates to generate engines. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:fddividendamericanengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>fddividendamericanengine.hpp</b></td></tr>
<tr class="memdesc:fddividendamericanengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">american engine with discrete deterministic dividends <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:fddividendengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>fddividendengine.hpp</b></td></tr>
<tr class="memdesc:fddividendengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">base engine for option with dividends <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:fddividendeuropeanengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>fddividendeuropeanengine.hpp</b></td></tr>
<tr class="memdesc:fddividendeuropeanengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">finite-differences engine for European option with dividends <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:fddividendshoutengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>fddividendshoutengine.hpp</b></td></tr>
<tr class="memdesc:fddividendshoutengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">base class for shout engine with dividends <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:fdeuropeanengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>fdeuropeanengine.hpp</b></td></tr>
<tr class="memdesc:fdeuropeanengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Finite-difference European engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:fdhestonhullwhitevanillaengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>fdhestonhullwhitevanillaengine.hpp</b></td></tr>
<tr class="memdesc:fdhestonhullwhitevanillaengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Finite-Differences Heston Hull-White vanilla option engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:fdhestonvanillaengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>fdhestonvanillaengine.hpp</b></td></tr>
<tr class="memdesc:fdhestonvanillaengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Finite-Differences Heston vanilla option engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:fdmultiperiodengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>fdmultiperiodengine.hpp</b></td></tr>
<tr class="memdesc:fdmultiperiodengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">base engine for options with events happening at specific times <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:fdsabrvanillaengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>fdsabrvanillaengine.hpp</b></td></tr>
<tr class="memdesc:fdsabrvanillaengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Finite-Differences pricing engine for the SABR model. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:fdshoutengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>fdshoutengine.hpp</b></td></tr>
<tr class="memdesc:fdshoutengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences shout engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:fdsimplebsswingengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>fdsimplebsswingengine.hpp</b></td></tr>
<tr class="memdesc:fdsimplebsswingengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Finite Differences Ornstein Uhlenbeck plus exponential jumps engine for vanilla options. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:fdstepconditionengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>fdstepconditionengine.hpp</b></td></tr>
<tr class="memdesc:fdstepconditionengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences step-condition engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:fdvanillaengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>fdvanillaengine.hpp</b></td></tr>
<tr class="memdesc:fdvanillaengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences vanilla-option engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:integralengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>integralengine.hpp</b></td></tr>
<tr class="memdesc:integralengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Integral option engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:jumpdiffusionengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>jumpdiffusionengine.hpp</b></td></tr>
<tr class="memdesc:jumpdiffusionengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Jump diffusion (Merton 1976) engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:juquadraticengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>juquadraticengine.hpp</b></td></tr>
<tr class="memdesc:juquadraticengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Ju quadratic (1999) approximation engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:mcamericanengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>mcamericanengine.hpp</b></td></tr>
<tr class="memdesc:mcamericanengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">American Monte Carlo engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:mcdigitalengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>mcdigitalengine.hpp</b></td></tr>
<tr class="memdesc:mcdigitalengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">digital option Monte Carlo engine <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:mceuropeanengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>mceuropeanengine.hpp</b></td></tr>
<tr class="memdesc:mceuropeanengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Monte Carlo European option engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:mceuropeangjrgarchengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>mceuropeangjrgarchengine.hpp</b></td></tr>
<tr class="memdesc:mceuropeangjrgarchengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Monte Carlo GJR-GARCH-model engine for European options. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:mceuropeanhestonengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>mceuropeanhestonengine.hpp</b></td></tr>
<tr class="memdesc:mceuropeanhestonengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Monte Carlo Heston-model engine for European options. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:mchestonhullwhiteengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>mchestonhullwhiteengine.hpp</b></td></tr>
<tr class="memdesc:mchestonhullwhiteengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Monte Carlo vanilla option engine for stochastic interest rates. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:mcvanillaengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>mcvanillaengine.hpp</b></td></tr>
<tr class="memdesc:mcvanillaengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Monte Carlo vanilla option engine. <br /></td></tr>
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