QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | |
class | BinomialDoubleBarrierEngine< T, D > |
Pricing engine for double barrier options using binomial trees. More... | |
class | PerturbativeBarrierOptionEngine |
perturbative barrier-option engine More... | |
class | SuoWangDoubleBarrierEngine |
Pricing engine for barrier options using analytical formulae. More... | |
class | VannaVolgaBarrierEngine |
Vanna/Volga barrier option engine. More... | |
class | VannaVolgaDoubleBarrierEngine< DoubleBarrierEngine > |
Vanna Volga double-barrier option engine. More... | |
class | AnalyticTwoAssetBarrierEngine |
Analytic engine for barrier option on two assets. More... | |
class | AnalyticBarrierEngine |
Pricing engine for barrier options using analytical formulae. More... | |
class | AnalyticBinaryBarrierEngine |
Analytic pricing engine for American binary barriers options. More... | |
class | AnalyticDoubleBarrierBinaryEngine |
Analytic pricing engine for double barrier binary options. More... | |
class | AnalyticDoubleBarrierEngine |
Pricing engine for double barrier european options using analytical formulae. More... | |
class | BinomialBarrierEngine< T, D > |
Pricing engine for barrier options using binomial trees. More... | |
class | FdBlackScholesBarrierEngine |
Finite-differences Black/Scholes barrier-option engine. More... | |
class | FdBlackScholesRebateEngine |
Finite-differences Black/Scholes barrier-option rebate helper engine. More... | |
class | FdHestonBarrierEngine |
Finite-differences Heston barrier-option engine. More... | |
class | FdHestonDoubleBarrierEngine |
Finite-Differences Heston Double Barrier Option engine. More... | |
class | FdHestonRebateEngine |
Finite-differences Heston barrier-option rebate helper engine. More... | |
class | MCBarrierEngine< RNG, S > |
Pricing engine for barrier options using Monte Carlo simulation. More... | |