QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Files | |
file | forwardengine.hpp [code] |
Forward (strike-resetting) vanilla-option engine. | |
file | forwardperformanceengine.hpp [code] |
Forward (strike-resetting) performance vanilla-option engine. | |
file | mcforwardeuropeanbsengine.cpp [code] |
file | mcforwardeuropeanbsengine.hpp [code] |
Monte Carlo engine for forward-starting strike-reset European options using BS process. | |
file | mcforwardeuropeanhestonengine.cpp [code] |
file | mcforwardeuropeanhestonengine.hpp [code] |
Monte Carlo engine for forward-starting strike-reset European options using Heston-like process. | |
file | mcforwardvanillaengine.hpp [code] |
Monte Carlo engine for forward-starting strike-reset vanilla options. | |
file | mcvarianceswapengine.hpp [code] |
Monte Carlo variance-swap engine. | |
file | replicatingvarianceswapengine.hpp [code] |
Replicating engine for variance swaps. | |