QuantLib_AnalyticCompoundOptionEngine man page

AnalyticCompoundOptionEngine — Pricing engine for compound options using analytical formulae.

Synopsis

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

Inherits CompoundOption::engine.

Public Member Functions

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

void calculate () const

Additional Inherited Members

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

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

AnalyticCompoundOptionEngine(3) is an alias of QuantLib_AnalyticCompoundOptionEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib