QuantLib: C:/dev/QuantLib/ql/pricingengines/exotic/analyticeuropeanmargrabeengine.hpp File Reference

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QuantLib: a free/open-source library for quantitative finance

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Analytic engine for European Margrabe option. More...

#include <ql/instruments/margrabeoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

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Classes
class	AnalyticEuropeanMargrabeEngine
	Analytic engine for European Margrabe option. More...

Namespaces
namespace	QuantLib

Detailed Description

Analytic engine for European Margrabe option.

Definition in file analyticeuropeanmargrabeengine.hpp.