QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
margrabeoption.hpp File Reference

Margrabe option on two assets. More...

#include <ql/instruments/multiassetoption.hpp>

Go to the source code of this file.

Classes

class  MargrabeOption
 Margrabe option on two assets. More...
 
class  MargrabeOption::arguments
 Extra arguments for Margrabe option. More...
 
class  MargrabeOption::results
 Extra results for Margrabe option. More...
 
class  MargrabeOption::engine
 Margrabe option engine base class More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

Margrabe option on two assets.

Definition in file margrabeoption.hpp.