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file | analyticbsmhullwhiteengine.hpp |
| analytic Black-Scholes engines including stochastic interest rates
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file | analyticdigitalamericanengine.hpp |
| analytic digital American option engine
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file | analyticdividendeuropeanengine.hpp |
| Analytic discrete-dividend European engine.
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file | analyticeuropeanengine.hpp |
| Analytic European engine.
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file | analyticgjrgarchengine.hpp |
| analytic GJR-GARCH-model engine
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file | analytich1hwengine.hpp |
| analytic Heston-Hull-White engine based on the H1-HW approximation
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file | analytichestonengine.hpp |
| analytic Heston-model engine
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file | analytichestonhullwhiteengine.hpp |
| analytic heston engine incl. stochastic interest rates
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file | analyticptdhestonengine.hpp |
| analytic piecewise time dependent Heston-model engine
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file | baroneadesiwhaleyengine.hpp |
| Barone-Adesi and Whaley approximation engine.
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file | batesengine.hpp |
| analytic Bates model engine
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file | binomialengine.hpp |
| Binomial option engine.
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file | bjerksundstenslandengine.hpp |
| Bjerksund and Stensland approximation engine.
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file | coshestonengine.hpp |
| Heston engine based on Fourier-Cosine series expansions.
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file | discretizedvanillaoption.hpp |
| discretized vanilla option
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file | fdamericanengine.hpp |
| Finite-differences American option engine.
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file | fdbatesvanillaengine.hpp |
| Partial Integro Finite-Differences Bates vanilla option engine.
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file | fdbermudanengine.hpp |
| finite-difference Bermudan engine
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file | fdblackscholesvanillaengine.hpp |
| Finite-Differences Black Scholes vanilla option engine.
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file | fdconditions.hpp |
| Finite-difference templates to generate engines.
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file | fddividendamericanengine.hpp |
| american engine with discrete deterministic dividends
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file | fddividendengine.hpp |
| base engine for option with dividends
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file | fddividendeuropeanengine.hpp |
| finite-differences engine for European option with dividends
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file | fddividendshoutengine.hpp |
| base class for shout engine with dividends
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file | fdeuropeanengine.hpp |
| Finite-difference European engine.
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file | fdhestonhullwhitevanillaengine.hpp |
| Finite-Differences Heston Hull-White vanilla option engine.
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file | fdhestonvanillaengine.hpp |
| Finite-Differences Heston vanilla option engine.
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file | fdmultiperiodengine.hpp |
| base engine for options with events happening at specific times
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file | fdshoutengine.hpp |
| Finite-differences shout engine.
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file | fdsimplebsswingengine.hpp |
| Finite Differences Ornstein Uhlenbeck plus exponential jumps engine for vanilla options.
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file | fdstepconditionengine.hpp |
| Finite-differences step-condition engine.
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file | fdvanillaengine.hpp |
| Finite-differences vanilla-option engine.
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file | integralengine.hpp |
| Integral option engine.
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file | jumpdiffusionengine.hpp |
| Jump diffusion (Merton 1976) engine.
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file | juquadraticengine.hpp |
| Ju quadratic (1999) approximation engine.
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file | mcamericanengine.hpp |
| American Monte Carlo engine.
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file | mcdigitalengine.hpp |
| digital option Monte Carlo engine
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file | mceuropeanengine.hpp |
| Monte Carlo European option engine.
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file | mceuropeangjrgarchengine.hpp |
| Monte Carlo GJR-GARCH-model engine for European options.
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file | mceuropeanhestonengine.hpp |
| Monte Carlo Heston-model engine for European options.
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file | mchestonhullwhiteengine.hpp |
| Monte Carlo vanilla option engine for stochastic interest rates.
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file | mcvanillaengine.hpp |
| Monte Carlo vanilla option engine.
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