vanilla Directory Reference

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  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.