QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
pricingengines Directory Reference

Directories

directory  asian
 
directory  barrier
 
directory  basket
 
directory  bond
 
directory  capfloor
 
directory  cliquet
 
directory  credit
 
directory  forward
 
directory  inflation
 
directory  lookback
 
directory  quanto
 
directory  swap
 
directory  swaption
 
directory  vanilla
 

Files

file  americanpayoffatexpiry.hpp
 Analytical formulae for american exercise with payoff at expiry.
 
file  americanpayoffathit.hpp
 Analytical formulae for american exercise with payoff at hit.
 
file  blackcalculator.hpp
 Black-formula calculator class.
 
file  blackformula.hpp
 Black formula.
 
file  blackscholescalculator.hpp
 Black-Scholes formula calculator class.
 
file  genericmodelengine.hpp
 Generic option engine based on a model.
 
file  greeks.hpp
 default greek calculations
 
file  latticeshortratemodelengine.hpp
 Engine for a short-rate model specialized on a lattice.
 
file  mclongstaffschwartzengine.hpp
 Longstaff Schwartz Monte Carlo engine for early exercise options.
 
file  mcsimulation.hpp
 framework for Monte Carlo engines