QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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pricingengines Directory Reference

Directories

directory  asian
 
directory  barrier
 
directory  basket
 
directory  bond
 
directory  capfloor
 
directory  cliquet
 
directory  credit
 
directory  exotic
 
directory  forward
 
directory  inflation
 
directory  lookback
 
directory  quanto
 
directory  swap
 
directory  swaption
 
directory  vanilla
 

Files

file  americanpayoffatexpiry.cpp [code]
 
file  americanpayoffatexpiry.hpp [code]
 Analytical formulae for american exercise with payoff at expiry.
 
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