commodityapoengine.hpp File Reference

commodity average price option engine More...

#include <ql/pricingengines/diffusioncalculator.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <qle/instruments/commodityapo.hpp>
#include <qle/methods/multipathgeneratorbase.hpp>
#include <qle/models/blackscholesmodelwrapper.hpp>

Classes
struct	MomentMatchingResults
class	CommodityAveragePriceOptionBaseEngine
class	CommodityAveragePriceOptionAnalyticalEngine
class	CommodityAveragePriceOptionMonteCarloEngine

Functions

MomentMatchingResults

matchFirstTwoMomentsTurnbullWakeman (const ext::shared_ptr< CommodityIndexedAverageCashFlow > &flow, const ext::shared_ptr< QuantLib::BlackVolTermStructure > &vol, const std::function< double(const QuantLib::Date &expiry1, const QuantLib::Date &expiry2)> &rho, QuantLib::Real strike=QuantLib::Null< QuantLib::Real >(), const QuantLib::Date &exerciseDate=Date(), QuantLib::DiffusionModelType modelType=QuantLib::DiffusionModelType::AsInputVolatilityType, const Real displacement=0.0)

Detailed Description

commodity average price option engine