QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
pricingengines Directory Reference

Directories

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