QuantLib_AnalyticCompoundOptionEngine man page
AnalyticCompoundOptionEngine — Pricing engine for compound options using analytical formulae.
Public Member Functions
AnalyticCompoundOptionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void calculate () const
Additional Inherited Members
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.
the correctness of the returned value is tested by reproducing results available in literature.
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The man page AnalyticCompoundOptionEngine(3) is an alias of QuantLib_AnalyticCompoundOptionEngine(3).