QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Analytic engine for barrier option on two assets. More...
#include <ql/experimental/exoticoptions/twoassetbarrieroption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Go to the source code of this file.
Classes | |
class | AnalyticTwoAssetBarrierEngine |
Analytic engine for barrier option on two assets. More... | |
Namespaces | |
namespace | QuantLib |
Analytic engine for barrier option on two assets.
Definition in file analytictwoassetbarrierengine.hpp.