commodityschwartzfutureoptionengine.hpp File Reference

commodity future options priced in the Schwartz model More...

#include <ql/instruments/vanillaoption.hpp>
#include <qle/models/crossassetmodel.hpp>
#include <qle/models/commodityschwartzmodel.hpp>

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Classes
class	CommoditySchwartzFutureOptionEngine
	Commodity options on prompt future (with maturity=expiry) priced in the Schwartz model. More...

Namespaces
namespace	QuantExt

Detailed Description

commodity future options priced in the Schwartz model

Definition in file commodityschwartzfutureoptionengine.hpp.