analyticeuropeanengine.hpp File Reference

Wrapper of QuantLib analytic European engine to allow for flipping back some of the additional results in the case of FX instruments where the trade builder may have inverted the underlying pair. More...

#include <ql/instruments/vanillaoption.hpp>
#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Go to the source code of this file.

Classes
class	AnalyticEuropeanEngine
	Pricing engine for European vanilla options using analytical formulae. More...

Namespaces
namespace	QuantExt

Detailed Description

Wrapper of QuantLib analytic European engine to allow for flipping back some of the additional results in the case of FX instruments where the trade builder may have inverted the underlying pair.

Definition in file analyticeuropeanengine.hpp.