Pricing engine for 2D European Baskets. More...
#include <ql/pricingengines/basket/stulzengine.hpp>
Inheritance diagram for StulzEngine:Public Member Functions | |
| StulzEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, Real correlation) | |
| void | calculate () const |
Public Member Functions inherited from GenericEngine< BasketOption::arguments, BasketOption::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Additional Inherited Members | |
Protected Attributes inherited from GenericEngine< BasketOption::arguments, BasketOption::results > | |
| BasketOption::arguments | arguments_ |
| BasketOption::results | results_ |
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.