Analytic engine for American Margrabe option. More...
#include <ql/experimental/exoticoptions/margrabeoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Classes | |
class | AnalyticAmericanMargrabeEngine |
Analytic engine for American Margrabe option. More... | |
Namespaces | |
namespace | QuantLib |
Analytic engine for American Margrabe option.