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| file | americanpayoffatexpiry.cpp [code] |
| |
| file | americanpayoffatexpiry.hpp [code] |
| | Analytical formulae for american exercise with payoff at expiry.
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| |
| file | americanpayoffathit.cpp [code] |
| |
| file | americanpayoffathit.hpp [code] |
| | Analytical formulae for american exercise with payoff at hit.
|
| |
| file | blackcalculator.cpp [code] |
| |
| file | blackcalculator.hpp [code] |
| | Black-formula calculator class.
|
| |
| file | blackformula.cpp [code] |
| |
| file | blackformula.hpp [code] |
| | Black formula.
|
| |
| file | blackscholescalculator.cpp [code] |
| |
| file | blackscholescalculator.hpp [code] |
| | Black-Scholes formula calculator class.
|
| |
| file | genericmodelengine.hpp [code] |
| | Generic option engine based on a model.
|
| |
| file | greeks.cpp [code] |
| |
| file | greeks.hpp [code] |
| | default greek calculations
|
| |
| file | latticeshortratemodelengine.hpp [code] |
| | Engine for a short-rate model specialized on a lattice.
|
| |
| file | mclongstaffschwartzengine.hpp [code] |
| | Longstaff Schwartz Monte Carlo engine for early exercise options.
|
| |
| file | mcsimulation.hpp [code] |
| | framework for Monte Carlo engines
|
| |