QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | List of all members
AnalyticTwoAssetCorrelationEngine Class Reference

Analytic two-asset correlation option engine. More...

#include <ql/experimental/exoticoptions/analytictwoassetcorrelationengine.hpp>

Inherits TwoAssetCorrelationOption::engine.

Public Member Functions

 AnalyticTwoAssetCorrelationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &p1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &p2, const Handle< Quote > &correlation)
 
void calculate () const
 

Detailed Description

Analytic two-asset correlation option engine.