QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Files | |
file | fd2dblackscholesvanillaengine.cpp [code] |
file | fd2dblackscholesvanillaengine.hpp [code] |
Finite-Differences 2 dim Black Scholes vanilla option engine. | |
file | kirkengine.cpp [code] |
file | kirkengine.hpp [code] |
kirk formulae, due to Kirk (1995) | |
file | mcamericanbasketengine.cpp [code] |
file | mcamericanbasketengine.hpp [code] |
Least-square Monte Carlo engines. | |
file | mceuropeanbasketengine.cpp [code] |
file | mceuropeanbasketengine.hpp [code] |
European basket MC Engine. | |
file | stulzengine.cpp [code] |
file | stulzengine.hpp [code] |
2D European Basket formulae, due to Stulz (1982) | |