Analytic two-asset correlation option engine. More...
#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 |
Analytic two-asset correlation option engine.