#include <ql/PricingEngines/Basket/stulzengine.hpp>
Inheritance diagram for StulzEngine:
[legend]List of all members.
Detailed Description
Pricing engine for 2D European Baskets.
This class implements formulae from "Options on the Minimum or the Maximum of Two Risky Assets", Rene Stulz, Journal of Financial Ecomomics (1982) 10, 161-185.
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Public Member Functions |
void | calculate () const |
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