QuantLib: ql/pricingengines/vanilla Directory Reference

A free/open-source library for quantitative finance Reference manual - version 1.20

vanilla Directory Reference

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