aposurface.hpp File Reference

Average future price option surface derived from future option surface. More...

#include <boost/optional.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <qle/indexes/commodityindex.hpp>
#include <qle/pricingengines/commodityapoengine.hpp>
#include <qle/termstructures/blackvariancesurfacemoneyness.hpp>
#include <qle/termstructures/pricetermstructure.hpp>
#include <qle/time/futureexpirycalculator.hpp>

Go to the source code of this file.

Classes
class	ApoFutureSurface
	Average future price option (APO) surface derived from a future option surface. More...

Namespaces
namespace	QuantExt

Detailed Description

Average future price option surface derived from future option surface.

Definition in file aposurface.hpp.