QuantLib_StulzEngine man page

StulzEngine — Pricing engine for 2D European Baskets.

Synopsis

#include <ql/pricingengines/basket/stulzengine.hpp>

Inherits BasketOption::engine.

Public Member Functions

StulzEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, Real correlation)

void calculate () const

Additional Inherited Members

Detailed Description

Pricing engine for 2D European Baskets.

This class implements formulae from 'Options on the Minimum or the Maximum of Two Risky Assets', Rene Stulz, Journal of Financial Ecomomics (1982) 10, 161-185.

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

StulzEngine(3) is an alias of QuantLib_StulzEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib