AnalyticOutperformanceOptionEngine Class Reference

Pricing engine for European outperformance options using analytical formulae. More...

#include <qle/pricingengines/analyticoutperformanceoptionengine.hpp>

Inheritance diagram for AnalyticOutperformanceOptionEngine:

Public Member Functions
	AnalyticOutperformanceOptionEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process1, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process2, const Handle< CorrelationTermStructure > &correlation, QuantLib::Size integrationPoints)
void	calculate () const override

Friends
class	integrand_f

Detailed Description

Pricing engine for European outperformance options using analytical formulae.