QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Vanna/Volga double-barrier option engine. More...
#include <ql/instruments/doublebarrieroption.hpp>
#include <ql/experimental/barrieroption/vannavolgainterpolation.hpp>
#include <ql/experimental/fx/blackdeltacalculator.hpp>
#include <ql/experimental/fx/deltavolquote.hpp>
#include <ql/math/matrix.hpp>
#include <ql/pricingengines/barrier/analyticbarrierengine.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <utility>
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Classes | |
class | VannaVolgaDoubleBarrierEngine< DoubleBarrierEngine > |
Vanna Volga double-barrier option engine. More... | |
Namespaces | |
namespace | QuantLib |
Vanna/Volga double-barrier option engine.
Definition in file vannavolgadoublebarrierengine.hpp.