QuantLib: AnalyticTwoAssetCorrelationEngine Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

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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.