QuantLib::Pricers Namespace Reference


Detailed Description

Pricing models for options.

See sect. Pricers


Compounds

class  AnalyticalCapFloor
 Analytical pricer for cap/floor. More...

class  BarrierOption
 Barrier option. More...

class  BinaryOption
 Binary (digital) option. More...

class  BlackCapFloor
 CapFloor priced by the Black formula. More...

class  BlackSwaption
 Swaption priced by the Black formula. More...

class  CliquetOption
 cliquet (Ratchet) option More...

class  ContinuousGeometricAPO
 Continuous Geometric Average Price Option (European exercise). More...

class  DiscreteGeometricAPO
 Discrete Geometric Average Price Asian Option (European style). More...

class  DiscreteGeometricASO
 Discrete Geometric Average Strike Asian Option (European style). More...

class  EuropeanOption
 Black-Scholes-Merton European option. More...

class  FdAmericanOption
class  FdBermudanOption
 Bermudan option. More...

class  FdBsmOption
 Black-Scholes-Merton option priced numerically. More...

class  FdDividendEuropeanOption
 European option with dividends. More...

class  FdDividendShoutOption
 Shout option with dividends. More...

class  FdEuropean
 Example of European option calculated using finite differences. More...

class  FdStepConditionOption
 option executing additional code at each time step More...

class  JamshidianSwaption
 Jamshidian swaption pricer. More...

class  McBasket
 simple example of multi-factor Monte Carlo pricer More...

class  McCliquetOption
 simple example of Monte Carlo pricer More...

class  McDiscreteArithmeticAPO
 example of Monte Carlo pricer using a control variate More...

class  McDiscreteArithmeticASO
 example of Monte Carlo pricer using a control variate. More...

class  McEuropean
 simple example of Monte Carlo pricer More...

class  McEverest
 Everest-type option pricer. More...

class  McHimalaya
 Himalayan-type option pricer. More...

class  McMaxBasket
 simple example of multi-factor Monte Carlo pricer More...

class  McPagoda
 roofed Asian option More...

class  McPerformanceOption
 Performance option computed using Monte Carlo simulation. More...

class  McPricer
 base class for Monte Carlo pricers More...

class  PerformanceOption
 Performance option. More...

class  SingleAssetOption
 Black-Scholes-Merton option. More...

class  TreeCapFloor
 Cap/Floor priced in a tree. More...

class  TreeSwaption
 Swaption priced on a lattice. More...


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