StulzEngine Class Reference

Pricing engine for 2D European Baskets. More...

#include <ql/pricingengines/basket/stulzengine.hpp>

Inheritance diagram for StulzEngine:

Public Member Functions

 StulzEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, Real correlation)
 
void calculate () const
 

Additional Inherited Members

- Protected Attributes inherited from GenericEngine< BasketOption::arguments, BasketOption::results >
BasketOption::arguments arguments_
 
BasketOption::results results_
 

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.

Tests:
the correctness of the returned value is tested by reproducing results available in literature.