Analytic engine for European Margrabe option. More...
#include <ql/experimental/exoticoptions/margrabeoption.hpp>#include <ql/processes/blackscholesprocess.hpp>
Classes | |
| class | AnalyticEuropeanMargrabeEngine |
| Analytic engine for European Margrabe option. More... | |
Analytic engine for European Margrabe option.