perturbativebarrieroptionengine.cpp File Reference

#include <ql/errors.hpp>
#include <ql/exercise.hpp>
#include <ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp>
#include <ql/functional.hpp>
#include <ql/types.hpp>
#include <algorithm>
#include <cmath>
#include <utility>

Go to the source code of this file.

Namespaces
namespace	QuantLib

Macros
#define	PI   3.14159265358979324

Macro Definition Documentation

PI

#define PI   3.14159265358979324

Definition at line 46 of file perturbativebarrieroptionengine.cpp.

Variable Documentation

r

ext::shared_ptr<YieldTermStructure> r

Examples

DiscreteHedging.cpp, and MarketModels.cpp.

Definition at line 1454 of file perturbativebarrieroptionengine.cpp.

q

ext::shared_ptr<YieldTermStructure> q

Examples

MulticurveBootstrapping.cpp.

Definition at line 1464 of file perturbativebarrieroptionengine.cpp.

v

ext::shared_ptr<BlackVolTermStructure> v

Definition at line 1487 of file perturbativebarrieroptionengine.cpp.

s

Real s

Examples

MarketModels.cpp.

Definition at line 1488 of file perturbativebarrieroptionengine.cpp.