QuantLib_StulzEngine (3) - Linux Manuals

QuantLib_StulzEngine: Pricing engine for 2D European Baskets.

Command to display QuantLib_StulzEngine manual in Linux: $ man 3 QuantLib_StulzEngine

NAME

QuantLib::StulzEngine - Pricing engine for 2D European Baskets.

SYNOPSIS

#include <ql/pricingengines/basket/stulzengine.hpp>

Inherits QuantLib::BasketOption::engine.

Public Member Functions

StulzEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, Real correlation)

void calculate () const

Detailed Description

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.

Tests

: the correctness of the returned value is tested by reproducing results available in literature.

Author

Generated automatically by Doxygen for QuantLib from the source code.