Classes | |
| class | MCAmericanPathEngine< RNG > |
| least-square Monte Carlo engine More... | |
| class | Fd2dBlackScholesVanillaEngine |
| Two dimensional finite-differences Black Scholes vanilla option engine. More... | |
| class | KirkEngine |
| Pricing engine for spread option on two futures. More... | |
| class | MCAmericanBasketEngine< RNG > |
| least-square Monte Carlo engine More... | |
| class | MCEuropeanBasketEngine< RNG, S > |
| Pricing engine for European basket options using Monte Carlo simulation. More... | |
| class | StulzEngine |
| Pricing engine for 2D European Baskets. More... | |