vanillaoption.hpp File Reference

Abstract engine builders for European and American Options. More...

#include <boost/make_shared.hpp>
#include <ored/portfolio/builders/cachingenginebuilder.hpp>
#include <ored/portfolio/enginefactory.hpp>
#include <ored/utilities/indexparser.hpp>
#include <ored/utilities/log.hpp>
#include <ored/utilities/to_string.hpp>
#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
#include <ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <qle/pricingengines/analyticcashsettledeuropeanengine.hpp>
#include <qle/pricingengines/analyticeuropeanforwardengine.hpp>
#include <qle/pricingengines/baroneadesiwhaleyengine.hpp>
#include <qle/termstructures/blackmonotonevarvoltermstructure.hpp>
#include <qle/termstructures/pricetermstructureadapter.hpp>

Go to the source code of this file.

Classes
class	CachingOptionEngineBuilder< T, Args >
class	VanillaOptionEngineBuilder
	Abstract Engine Builder for Vanilla Options. More...
class	EuropeanOptionEngineBuilder
	Abstract Engine Builder for European Vanilla Options. More...
class	EuropeanForwardOptionEngineBuilder
	Abstract Engine Builder for European Vanilla Forward Options. More...
class	EuropeanCSOptionEngineBuilder
class	AmericanOptionEngineBuilder
	Abstract Engine Builder for American Vanilla Options. More...
class	AmericanOptionFDEngineBuilder
	Abstract Engine Builder for American Vanilla Options using Finite Difference Method. More...
class	AmericanOptionBAWEngineBuilder
	Abstract Engine Builder for American Vanilla Options using Barone Adesi Whaley Approximation. More...

Namespaces
namespace	ore
	Serializable Credit Default Swap.
namespace	ore::data

Detailed Description

Abstract engine builders for European and American Options.

Definition in file vanillaoption.hpp.