Files | |
file | analyticbsmhullwhiteengine.hpp |
analytic Black-Scholes engines including stochastic interest rates | |
file | analyticdigitalamericanengine.hpp |
analytic digital American option engine | |
file | analyticdividendeuropeanengine.hpp |
Analytic discrete-dividend European engine. | |
file | analyticeuropeanengine.hpp |
Analytic European engine. | |
file | analyticgjrgarchengine.hpp |
analytic GJR-GARCH-model engine | |
file | analytich1hwengine.hpp |
analytic Heston-Hull-White engine based on the H1-HW approximation | |
file | analytichestonengine.hpp |
analytic Heston-model engine | |
file | analytichestonhullwhiteengine.hpp |
analytic heston engine incl. stochastic interest rates | |
file | analyticptdhestonengine.hpp |
analytic piecewise time dependent Heston-model engine | |
file | baroneadesiwhaleyengine.hpp |
Barone-Adesi and Whaley approximation engine. | |
file | batesengine.hpp |
analytic Bates model engine | |
file | binomialengine.hpp |
Binomial option engine. | |
file | bjerksundstenslandengine.hpp |
Bjerksund and Stensland approximation engine. | |
file | discretizedvanillaoption.hpp |
discretized vanilla option | |
file | fdamericanengine.hpp |
Finite-differences American option engine. | |
file | fdbatesvanillaengine.hpp |
Partial Integro Finite-Differences Bates vanilla option engine. | |
file | fdbermudanengine.hpp |
finite-difference Bermudan engine | |
file | fdblackscholesvanillaengine.hpp |
Finite-Differences Black Scholes vanilla option engine. | |
file | fdconditions.hpp |
Finite-difference templates to generate engines. | |
file | fddividendamericanengine.hpp |
american engine with discrete deterministic dividends | |
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. | |
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 | 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. | |
file | integralengine.hpp |
Integral option engine. | |
file | jumpdiffusionengine.hpp |
Jump diffusion (Merton 1976) engine. | |
file | juquadraticengine.hpp |
Ju quadratic (1999) approximation engine. | |
file | mcamericanengine.hpp |
American Monte Carlo engine. | |
file | mcdigitalengine.hpp |
digital option Monte Carlo engine | |
file | mceuropeanengine.hpp |
Monte Carlo European option engine. | |
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. | |
file | mcvanillaengine.hpp |
Monte Carlo vanilla option engine. | |