|
QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.38
|
Files | |
| file | forwardengine.hpp [code] |
| Forward (strike-resetting) vanilla-option engine. | |
| file | forwardperformanceengine.hpp [code] |
| Forward (strike-resetting) performance vanilla-option engine. | |
| file | mcforwardeuropeanbsengine.cpp [code] |
| file | mcforwardeuropeanbsengine.hpp [code] |
| Monte Carlo engine for forward-starting strike-reset European options using BS process. | |
| file | mcforwardeuropeanhestonengine.cpp [code] |
| file | mcforwardeuropeanhestonengine.hpp [code] |
| Monte Carlo engine for forward-starting strike-reset European options using Heston-like process. | |
| file | mcforwardvanillaengine.hpp [code] |
| Monte Carlo engine for forward-starting strike-reset vanilla options. | |
| file | mcvarianceswapengine.hpp [code] |
| Monte Carlo variance-swap engine. | |
| file | replicatingvarianceswapengine.hpp [code] |
| Replicating engine for variance swaps. | |