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vanillaengines

NAME

Vanilla option engines -

Classes

class FdBlackScholesAsianEngine
Finite-Differences Black Scholes arithmetic asian option engine.
class FdBlackScholesVanillaEngine
Finite-Differences Black Scholes vanilla option engine.
class FdHestonHullWhiteVanillaEngine
Finite-Differences Heston Hull-White Vanilla Option engine.
class FdHestonVanillaEngine
Finite-Differences Heston Vanilla Option engine.
class AnalyticBSMHullWhiteEngine
analytic european option pricer including stochastic interest rates
class AnalyticDigitalAmericanEngine
Analytic pricing engine for American vanilla options with digital payoff.
class AnalyticDividendEuropeanEngine
Analytic pricing engine for European options with discrete dividends.
class AnalyticEuropeanEngine
Pricing engine for European vanilla options using analytical formulae.
class AnalyticGJRGARCHEngine
GJR-GARCH(1,1) engine.
class AnalyticHestonEngine
analytic Heston-model engine based on Fourier transform
class AnalyticHestonHullWhiteEngine
Analytic Heston engine incl. stochastic interest rates.
class BaroneAdesiWhaleyApproximationEngine
Barone-Adesi and Whaley pricing engine for American options (1987).
class BatesEngine
Bates model engines based on Fourier transform.
class BinomialVanillaEngine< T >
Pricing engine for vanilla options using binomial trees.
class BjerksundStenslandApproximationEngine
Bjerksund and Stensland pricing engine for American options (1993).
class FDAmericanEngine< Scheme >
Finite-differences pricing engine for American one asset options.
class FDBermudanEngine< Scheme >
Finite-differences Bermudan engine.
class FDDividendAmericanEngine< Scheme >
Finite-differences pricing engine for dividend American options.
class FDDividendEngineMerton73< Scheme >
Finite-differences pricing engine for dividend options using escowed dividends model.
class FDDividendEngineShiftScale< Scheme >
Finite-differences engine for dividend options using shifted dividends.
class FDDividendEuropeanEngine< Scheme >
Finite-differences pricing engine for dividend European options.
class FDDividendShoutEngine< Scheme >
Finite-differences shout engine with dividends.
class FDEuropeanEngine< Scheme >
Pricing engine for European options using finite-differences.
class FDShoutEngine< Scheme >
Finite-differences pricing engine for shout vanilla options.
class FDStepConditionEngine< Scheme >
Finite-differences pricing engine for American-style vanilla options.
class FDVanillaEngine
Finite-differences pricing engine for BSM one asset options.
class IntegralEngine
Pricing engine for European vanilla options using integral approach.
class JumpDiffusionEngine
Jump-diffusion engine for vanilla options.
class JuQuadraticApproximationEngine
Pricing engine for American options with Ju quadratic approximation.
class MCAmericanEngine< RNG, S >
American Monte Carlo engine.
class MCDigitalEngine< RNG, S >
Pricing engine for digital options using Monte Carlo simulation.
class MCEuropeanEngine< RNG, S >
European option pricing engine using Monte Carlo simulation.
class MCEuropeanGJRGARCHEngine< RNG, S >
Monte Carlo GJR-GARCH-model engine for European options.
class MCEuropeanHestonEngine< RNG, S >
Monte Carlo Heston-model engine for European options.
class MCVanillaEngine< MC, RNG, S, Inst >
Pricing engine for vanilla options using Monte Carlo simulation.

Author

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