|
| file | analyticbsmhullwhiteengine.hpp |
| | analytic Black-Scholes engines including stochastic interest rates
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| |
| file | analyticcevengine.hpp |
| | Pricing engine for European vanilla options using a constant elasticity of variance (CEV) model.
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| |
| file | analyticdigitalamericanengine.hpp |
| | analytic digital American option engine
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| |
| file | analyticdividendeuropeanengine.hpp |
| | Analytic discrete-dividend European engine.
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| |
| file | analyticeuropeanengine.hpp |
| | Analytic European engine.
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| |
| file | analyticgjrgarchengine.hpp |
| | analytic GJR-GARCH-model engine
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| |
| file | analytich1hwengine.hpp |
| | analytic Heston-Hull-White engine based on the H1-HW approximation
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| |
| file | analytichestonengine.hpp |
| | analytic Heston-model engine
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| |
| file | analytichestonhullwhiteengine.hpp |
| | analytic heston engine incl. stochastic interest rates
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| |
| file | analyticptdhestonengine.hpp |
| | analytic piecewise time dependent Heston-model engine
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| |
| file | baroneadesiwhaleyengine.hpp |
| | Barone-Adesi and Whaley approximation engine.
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| |
| file | batesengine.hpp |
| | analytic Bates model engine
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| |
| file | binomialengine.hpp |
| | Binomial option engine.
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| |
| file | bjerksundstenslandengine.hpp |
| | Bjerksund and Stensland approximation engine.
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| |
| file | coshestonengine.hpp |
| | Heston engine based on Fourier-Cosine series expansions.
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| |
| file | discretizedvanillaoption.hpp |
| | discretized vanilla option
|
| |
| file | exponentialfittinghestonengine.hpp |
| | analytic Heston-model engine based on exponential fitting
|
| |
| file | fdamericanengine.hpp |
| | Finite-differences American option engine.
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| |
| file | fdbatesvanillaengine.hpp |
| | Partial Integro Finite-Differences Bates vanilla option engine.
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| |
| file | fdbermudanengine.hpp |
| | finite-difference Bermudan engine
|
| |
| file | fdblackscholesvanillaengine.hpp |
| | Finite-Differences Black Scholes vanilla option engine.
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| |
| file | fdcevvanillaengine.hpp |
| | Finite-Differences pricing engine for the CEV model.
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| |
| file | fdcirvanillaengine.hpp |
| | Finite-Differences CIR vanilla option engine.
|
| |
| file | fdconditions.hpp |
| | Finite-difference templates to generate engines.
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| |
| file | fddividendamericanengine.hpp |
| | american engine with discrete deterministic dividends
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| |
| file | fddividendengine.hpp |
| | base engine for option with dividends
|
| |
| file | fddividendeuropeanengine.hpp |
| | finite-differences engine for European option with dividends
|
| |
| file | fddividendshoutengine.hpp |
| | base class for shout engine with dividends
|
| |
| file | fdeuropeanengine.hpp |
| | Finite-difference European engine.
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| |
| file | fdhestonhullwhitevanillaengine.hpp |
| | Finite-Differences Heston Hull-White vanilla option engine.
|
| |
| file | fdhestonvanillaengine.hpp |
| | Finite-Differences Heston vanilla option engine.
|
| |
| file | fdmultiperiodengine.hpp |
| | base engine for options with events happening at specific times
|
| |
| file | fdsabrvanillaengine.hpp |
| | Finite-Differences pricing engine for the SABR model.
|
| |
| file | fdshoutengine.hpp |
| | Finite-differences shout engine.
|
| |
| file | fdsimplebsswingengine.hpp |
| | Finite Differences Ornstein Uhlenbeck plus exponential jumps engine for vanilla options.
|
| |
| file | fdstepconditionengine.hpp |
| | Finite-differences step-condition engine.
|
| |
| file | fdvanillaengine.hpp |
| | Finite-differences vanilla-option engine.
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| |
| file | integralengine.hpp |
| | Integral option engine.
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| |
| file | jumpdiffusionengine.hpp |
| | Jump diffusion (Merton 1976) engine.
|
| |
| file | juquadraticengine.hpp |
| | Ju quadratic (1999) approximation engine.
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| |
| file | mcamericanengine.hpp |
| | American Monte Carlo engine.
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| |
| file | mcdigitalengine.hpp |
| | digital option Monte Carlo engine
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| |
| file | mceuropeanengine.hpp |
| | Monte Carlo European option engine.
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| |
| file | mceuropeangjrgarchengine.hpp |
| | Monte Carlo GJR-GARCH-model engine for European options.
|
| |
| file | mceuropeanhestonengine.hpp |
| | Monte Carlo Heston-model engine for European options.
|
| |
| file | mchestonhullwhiteengine.hpp |
| | Monte Carlo vanilla option engine for stochastic interest rates.
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| |
| file | mcvanillaengine.hpp |
| | Monte Carlo vanilla option engine.
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| |