StulzEngine (3) - Linux Manuals
StulzEngine: Pricing engine for 2D European Baskets.
QuantLib::StulzEngine - Pricing engine for 2D European Baskets.
Public Member Functions
Pricing engine for 2D European Baskets.
This class implements formulae from 'Options on the Minimum or the Maximum of Two Risky Assets', Rene Stulz, Journal of Financial Ecomomics (1982) 10, 161-185.
- the correctness of the returned value is tested by reproducing results available in literature.
Generated automatically by Doxygen for QuantLib from the source code.