commodity future options priced in the Schwartz model More...
#include <ql/instruments/vanillaoption.hpp>
#include <qle/models/crossassetmodel.hpp>
#include <qle/models/commodityschwartzmodel.hpp>
Classes | |
class | CommoditySchwartzFutureOptionEngine |
Commodity options on prompt future (with maturity=expiry) priced in the Schwartz model. More... | |
commodity future options priced in the Schwartz model