StulzEngine Class Reference
[Basket option engines]

#include <ql/PricingEngines/Basket/stulzengine.hpp>

Inheritance diagram for StulzEngine:

Inheritance graph
[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.


Public Member Functions

void calculate () const


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen