analyticcompoundoptionengine.cpp File Reference

#include <ql/pricingengines/exotic/analyticcompoundoptionengine.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <utility>

Go to the source code of this file.

Namespaces
namespace	QuantLib

Variable Documentation

dividendDiscount_

DiscountFactor dividendDiscount_

private

Definition at line 47 of file analyticcompoundoptionengine.cpp.

riskFreeDiscount_

DiscountFactor riskFreeDiscount_

private

Definition at line 48 of file analyticcompoundoptionengine.cpp.

standardDeviation_

Real standardDeviation_

private

Definition at line 49 of file analyticcompoundoptionengine.cpp.

strike_

Real strike_

private

Definition at line 50 of file analyticcompoundoptionengine.cpp.

payoff_

ext::shared_ptr<PlainVanillaPayoff> payoff_

private

Definition at line 51 of file analyticcompoundoptionengine.cpp.