QuantLib_AnalyticCompoundOptionEngine

Langue: en

Version: 375575 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::AnalyticCompoundOptionEngine -

Pricing engine for compound options using analytical formulae.

SYNOPSIS


#include <ql/experimental/compoundoption/analyticcompoundoptionengine.hpp>

Inherits QuantLib::CompoundOption::engine.

Public Member Functions


AnalyticCompoundOptionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)

void calculate () const

Detailed Description

Pricing engine for compound options using analytical formulae.

The formulas are taken from 'Foreign Exchange Risk', Uwe Wystup, Risk 2002, where closed form Greeks are available. (not available in Haug 2007). Value: Page 84, Greeks: Pages 94-95.

Tests

the correctness of the returned value is tested by reproducing results available in literature.

Author

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