analyticoutperformanceoptionengine.hpp File Reference

Analytic European engine for outperformance options. More...

#include <qle/instruments/outperformanceoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <qle/termstructures/correlationtermstructure.hpp>

Go to the source code of this file.

Classes
class	AnalyticOutperformanceOptionEngine
	Pricing engine for European outperformance options using analytical formulae. More...

Namespaces
namespace	QuantExt

Detailed Description

Analytic European engine for outperformance options.

Definition in file analyticoutperformanceoptionengine.hpp.