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| class | VarianceGammaEngine |
| | Variance Gamma Pricing engine for European vanilla options using integral approach. More...
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| class | FFTEngine |
| | Base class for FFT pricing engines for European vanilla options. More...
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| class | FFTVanillaEngine |
| | FFT Pricing engine vanilla options under a Black Scholes process. More...
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| class | FFTVarianceGammaEngine |
| | FFT engine for vanilla options under a Variance Gamma process. More...
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| class | AnalyticBSMHullWhiteEngine |
| | analytic european option pricer including stochastic interest rates More...
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| class | AnalyticDigitalAmericanEngine |
| | Analytic pricing engine for American vanilla options with digital payoff. More...
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| class | AnalyticDigitalAmericanKOEngine |
| | Analytic pricing engine for American Knock-out options with digital payoff. More...
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| class | AnalyticDividendEuropeanEngine |
| | Analytic pricing engine for European options with discrete dividends. More...
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| class | AnalyticEuropeanEngine |
| | Pricing engine for European vanilla options using analytical formulae. More...
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| class | AnalyticGJRGARCHEngine |
| | GJR-GARCH(1,1) engine. More...
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| class | AnalyticH1HWEngine |
| | Analytic Heston-Hull-White engine based on the H1-HW approximation. More...
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| class | AnalyticHestonEngine |
| | analytic Heston-model engine based on Fourier transform More...
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| class | AnalyticHestonHullWhiteEngine |
| | Analytic Heston engine incl. stochastic interest rates. More...
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| class | AnalyticPTDHestonEngine |
| | analytic piecewise constant time dependent Heston-model engine More...
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| class | BaroneAdesiWhaleyApproximationEngine |
| | Barone-Adesi and Whaley pricing engine for American options (1987) More...
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| class | BatesEngine |
| | Bates model engines based on Fourier transform. More...
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| class | BinomialVanillaEngine< T > |
| | Pricing engine for vanilla options using binomial trees. More...
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| class | BjerksundStenslandApproximationEngine |
| | Bjerksund and Stensland pricing engine for American options (1993) More...
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| class | COSHestonEngine |
| | COS-method Heston engine based on efficient Fourier series expansions. More...
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| class | FDAmericanEngine< Scheme > |
| | Finite-differences pricing engine for American one asset options. More...
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| class | FdBatesVanillaEngine |
| | Partial Integro FiniteDifferences Bates Vanilla Option engine. More...
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| class | FDBermudanEngine< Scheme > |
| | Finite-differences Bermudan engine. More...
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| class | FDDividendAmericanEngine< Scheme > |
| | Finite-differences pricing engine for dividend American options. More...
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| class | FDDividendEngineMerton73< Scheme > |
| | Finite-differences pricing engine for dividend options using escowed dividends model. More...
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| class | FDDividendEngineShiftScale< Scheme > |
| | Finite-differences engine for dividend options using shifted dividends. More...
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| class | FDDividendEuropeanEngine< Scheme > |
| | Finite-differences pricing engine for dividend European options. More...
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| class | FDDividendShoutEngine< Scheme > |
| | Finite-differences shout engine with dividends. More...
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| class | FDEuropeanEngine< Scheme > |
| | Pricing engine for European options using finite-differences. More...
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| class | FdHestonHullWhiteVanillaEngine |
| | Finite-Differences Heston Hull-White Vanilla Option engine. More...
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| class | FdHestonVanillaEngine |
| | Finite-Differences Heston Vanilla Option engine. More...
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| class | FDShoutEngine< Scheme > |
| | Finite-differences pricing engine for shout vanilla options. More...
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| class | FDStepConditionEngine< Scheme > |
| | Finite-differences pricing engine for American-style vanilla options. More...
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| class | FDVanillaEngine |
| | Finite-differences pricing engine for BSM one asset options. More...
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| class | HestonExpansionEngine |
| | Heston-model engine for European options based on analytic expansions. More...
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| class | IntegralEngine |
| | Pricing engine for European vanilla options using integral approach. More...
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| class | JumpDiffusionEngine |
| | Jump-diffusion engine for vanilla options. More...
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| class | JuQuadraticApproximationEngine |
| | Pricing engine for American options with Ju quadratic approximation. More...
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| class | MCAmericanEngine< RNG, S, RNG_Calibration > |
| | American Monte Carlo engine. More...
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| class | MCDigitalEngine< RNG, S > |
| | Pricing engine for digital options using Monte Carlo simulation. More...
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| class | MCEuropeanEngine< RNG, S > |
| | European option pricing engine using Monte Carlo simulation. More...
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| class | MCEuropeanGJRGARCHEngine< RNG, S > |
| | Monte Carlo GJR-GARCH-model engine for European options. More...
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| class | MCEuropeanHestonEngine< RNG, S, P > |
| | Monte Carlo Heston-model engine for European options. More...
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| class | MCVanillaEngine< MC, RNG, S, Inst > |
| | Pricing engine for vanilla options using Monte Carlo simulation. More...
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