24#ifndef quantlib_analytic_complex_chooser_engine_hpp
25#define quantlib_analytic_complex_chooser_engine_hpp
36 ext::shared_ptr<GeneralizedBlackScholesProcess> process);
40 ext::shared_ptr<GeneralizedBlackScholesProcess>
process_;
Black-Scholes formula calculator class.
Time choosingTime() const
DiscountFactor riskFreeDiscount(Time t) const
Real strike(Option::Type optionType) const
void calculate() const override
Volatility volatility(Time t) const
BlackScholesCalculator bsCalculator(Real spot, Option::Type optionType) const
Time callMaturity() const
Rate riskFreeRate(Time t) const
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Rate dividendYield(Time t) const
DiscountFactor dividendDiscount(Time t) const
Real criticalValue() const
Black-Scholes 1973 calculator class.
Complex-chooser-option engine base class.
Real Time
continuous quantity with 1-year units
Real DiscountFactor
discount factor between dates
Real Volatility
volatility