24#ifndef quantlib_analytic_compound_option_engine_hpp
25#define quantlib_analytic_compound_option_engine_hpp
45 ext::shared_ptr<GeneralizedBlackScholesProcess> process);
51 ext::shared_ptr<GeneralizedBlackScholesProcess>
process_;
95 ext::shared_ptr<PlainVanillaPayoff>
payoffMother()
const;
bivariate cumulative normal distribution
Pricing engine for compound options using analytical formulae.
Real transformX(Real X) const
Real volatilityMother() const
Time residualTimeMother() const
Real stdDeviationDaughter() const
DiscountFactor dividendDiscountMotherDaughter() const
DiscountFactor riskFreeDiscountMotherDaughter() const
DiscountFactor riskFreeDiscountMother() const
Real dividendRateDaughter() const
Real stdDeviationMother() const
ext::shared_ptr< PlainVanillaPayoff > payoffDaughter() const
Real dPlusTau12(Real S) const
Time residualTimeMotherDaughter() const
void calculate() const override
DiscountFactor dividendDiscountDaughter() const
Date maturityDaughter() const
Real typeDaughter() const
Real riskFreeRateDaughter() const
ext::shared_ptr< PlainVanillaPayoff > payoffMother() const
Real strikeDaughter() const
Real strikeMother() const
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Time residualTimeDaughter() const
DiscountFactor dividendDiscountMother() const
Real volatilityDaughter() const
Date maturityMother() const
CumulativeNormalDistribution N_
DiscountFactor riskFreeDiscountDaughter() const
Compound-option engine base class
Cumulative normal distribution function.
Normal distribution function.
Real Time
continuous quantity with 1-year units
Real DiscountFactor
discount factor between dates
Compound option on a single asset.