analyticoutperformanceoptionengine.hpp File Reference

Analytic European engine for outperformance options. More...

#include <qle/instruments/outperformanceoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <qle/termstructures/correlationtermstructure.hpp>

Classes
class	AnalyticOutperformanceOptionEngine
	Pricing engine for European outperformance options using analytical formulae. More...

Detailed Description

Analytic European engine for outperformance options.