QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Compound option on a single asset. More...
#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/exercise.hpp>
Go to the source code of this file.
Classes | |
class | CompoundOption |
Compound option (i.e., option on option) on a single asset. More... | |
class | CompoundOption::arguments |
class | CompoundOption::engine |
Compound-option engine base class More... | |
Namespaces | |
namespace | QuantLib |
Compound option on a single asset.
Definition in file compoundoption.hpp.