Classes | |
class | VarianceGammaEngine |
Variance Gamma Pricing engine for European vanilla options using integral approach. More... | |
class | FFTEngine |
Base class for FFT pricing engines for European vanilla options. More... | |
class | FFTVanillaEngine |
FFT Pricing engine vanilla options under a Black Scholes process. More... | |
class | FFTVarianceGammaEngine |
FFT engine for vanilla options under a Variance Gamma process. More... | |
class | AnalyticBSMHullWhiteEngine |
analytic european option pricer including stochastic interest rates More... | |
class | AnalyticDigitalAmericanEngine |
Analytic pricing engine for American vanilla options with digital payoff. More... | |
class | AnalyticDigitalAmericanKOEngine |
Analytic pricing engine for American Knock-out options with digital payoff. More... | |
class | AnalyticDividendEuropeanEngine |
Analytic pricing engine for European options with discrete dividends. More... | |
class | AnalyticEuropeanEngine |
Pricing engine for European vanilla options using analytical formulae. More... | |
class | AnalyticGJRGARCHEngine |
GJR-GARCH(1,1) engine. More... | |
class | AnalyticH1HWEngine |
Analytic Heston-Hull-White engine based on the H1-HW approximation. More... | |
class | AnalyticHestonEngine |
analytic Heston-model engine based on Fourier transform More... | |
class | AnalyticHestonHullWhiteEngine |
Analytic Heston engine incl. stochastic interest rates. More... | |
class | AnalyticPTDHestonEngine |
analytic piecewise constant time dependent Heston-model engine More... | |
class | BaroneAdesiWhaleyApproximationEngine |
Barone-Adesi and Whaley pricing engine for American options (1987) More... | |
class | BatesEngine |
Bates model engines based on Fourier transform. More... | |
class | BinomialVanillaEngine< T > |
Pricing engine for vanilla options using binomial trees. More... | |
class | BjerksundStenslandApproximationEngine |
Bjerksund and Stensland pricing engine for American options (1993) More... | |
class | FDAmericanEngine< Scheme > |
Finite-differences pricing engine for American one asset options. More... | |
class | FdBatesVanillaEngine |
Partial Integro FiniteDifferences Bates Vanilla Option engine. More... | |
class | FDBermudanEngine< Scheme > |
Finite-differences Bermudan engine. More... | |
class | FDDividendAmericanEngine< Scheme > |
Finite-differences pricing engine for dividend American options. More... | |
class | FDDividendEngineMerton73< Scheme > |
Finite-differences pricing engine for dividend options using escowed dividends model. More... | |
class | FDDividendEngineShiftScale< Scheme > |
Finite-differences engine for dividend options using shifted dividends. More... | |
class | FDDividendEuropeanEngine< Scheme > |
Finite-differences pricing engine for dividend European options. More... | |
class | FDDividendShoutEngine< Scheme > |
Finite-differences shout engine with dividends. More... | |
class | FDEuropeanEngine< Scheme > |
Pricing engine for European options using finite-differences. More... | |
class | FdHestonHullWhiteVanillaEngine |
Finite-Differences Heston Hull-White Vanilla Option engine. More... | |
class | FdHestonVanillaEngine |
Finite-Differences Heston Vanilla Option engine. More... | |
class | FDShoutEngine< Scheme > |
Finite-differences pricing engine for shout vanilla options. More... | |
class | FDStepConditionEngine< Scheme > |
Finite-differences pricing engine for American-style vanilla options. More... | |
class | FDVanillaEngine |
Finite-differences pricing engine for BSM one asset options. More... | |
class | HestonExpansionEngine |
Heston-model engine for European options based on analytic expansions. More... | |
class | IntegralEngine |
Pricing engine for European vanilla options using integral approach. More... | |
class | JumpDiffusionEngine |
Jump-diffusion engine for vanilla options. More... | |
class | JuQuadraticApproximationEngine |
Pricing engine for American options with Ju quadratic approximation. More... | |
class | MCAmericanEngine< RNG, S > |
American Monte Carlo engine. More... | |
class | MCDigitalEngine< RNG, S > |
Pricing engine for digital options using Monte Carlo simulation. More... | |
class | MCEuropeanEngine< RNG, S > |
European option pricing engine using Monte Carlo simulation. More... | |
class | MCEuropeanGJRGARCHEngine< RNG, S > |
Monte Carlo GJR-GARCH-model engine for European options. More... | |
class | MCEuropeanHestonEngine< RNG, S > |
Monte Carlo Heston-model engine for European options. More... | |
class | MCVanillaEngine< MC, RNG, S, Inst > |
Pricing engine for vanilla options using Monte Carlo simulation. More... | |
Enumerations | |
enum | ComplexLogFormula { Gatheral, BranchCorrection } |
enum | HestonExpansionFormula { LPP2, LPP3, Forde } |