commodityapoengine.cpp File Reference

#include <ql/math/matrixutilities/pseudosqrt.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
#include <qle/cashflows/commodityindexedcashflow.hpp>
#include <qle/methods/multipathgeneratorbase.hpp>
#include <qle/pricingengines/commodityapoengine.hpp>

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Namespaces
namespace	QuantExt
namespace	QuantExt::CommodityAveragePriceOptionMomementMatching

Functions
MomentMatchingResults	matchFirstTwoMomentsTurnbullWakeman (const ext::shared_ptr< CommodityIndexedAverageCashFlow > &flow, const ext::shared_ptr< QuantLib::BlackVolTermStructure > &vol, const std::function< double(const QuantLib::Date &expiry1, const QuantLib::Date &expiry2)> &rho, QuantLib::Real strike)