QuantLib_AnalyticTwoAssetCorrelationEngine man page

AnalyticTwoAssetCorrelationEngine — Analytic two-asset correlation option engine.

Synopsis

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

Inherits TwoAssetCorrelationOption::engine.

Public Member Functions

AnalyticTwoAssetCorrelationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &p1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &p2, const Handle< Quote > &correlation)

void calculate () const

Detailed Description

Analytic two-asset correlation option engine.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

AnalyticTwoAssetCorrelationEngine(3) is an alias of QuantLib_AnalyticTwoAssetCorrelationEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib