analyticcompoundoptionengine.hpp File Reference

Analytic compound option engines. More...

#include <ql/instruments/compoundoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/bivariatenormaldistribution.hpp>

Go to the source code of this file.

Classes
class	AnalyticCompoundOptionEngine
	Pricing engine for compound options using analytical formulae. More...

Namespaces
namespace	QuantLib

Detailed Description

Analytic compound option engines.

Definition in file analyticcompoundoptionengine.hpp.