24#ifndef quantlib_analytic_holder_extensible_option_engine_hpp
25#define quantlib_analytic_holder_extensible_option_engine_hpp
27#include <ql/experimental/exoticoptions/holderextensibleoption.hpp>
28#include <ql/processes/blackscholesprocess.hpp>
29#include <ql/pricingengines/blackscholescalculator.hpp>
37 ext::shared_ptr<GeneralizedBlackScholesProcess> process);
41 ext::shared_ptr<GeneralizedBlackScholesProcess>
process_;
DiscountFactor riskFreeDiscount(Time t) const
Real y2(Option::Type) const
Real y1(Option::Type) const
Volatility volatility() const
Time secondExpiryTime() const
void calculate() const override
Time firstExpiryTime() const
BlackScholesCalculator bsCalculator(Real spot, Option::Type optionType) const
Rate riskFreeRate() const
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Real N2(Real a, Real b) const
Rate dividendYield() const
DiscountFactor dividendDiscount(Time t) const
Real M2(Real a, Real b, Real c, Real d, Real rho) const
Black-Scholes 1973 calculator class.
Real Time
continuous quantity with 1-year units
Real DiscountFactor
discount factor between dates
Real Volatility
volatility