Pricing engine for 2D European Baskets. More...
#include <ql/pricingengines/basket/stulzengine.hpp>
Inheritance diagram for StulzEngine:Public Member Functions | |
| StulzEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process1, const ext::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 PricingEngine | |
| virtual arguments * | getArguments () const =0 |
| virtual const results * | getResults () const =0 |
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< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
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.