Reference manual - version qle_version
Wrapper of QuantLib analytic European engine to allow for flipping back some of the additional results in the case of FX instruments where the trade builder may have inverted the underlying pair. More...
#include <ql/instruments/vanillaoption.hpp>#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>#include <ql/processes/blackscholesprocess.hpp>Classes | |
| class | AnalyticEuropeanEngine |
| Pricing engine for European vanilla options using analytical formulae. More... | |
Wrapper of QuantLib analytic European engine to allow for flipping back some of the additional results in the case of FX instruments where the trade builder may have inverted the underlying pair.