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