- QuantLib
- StulzEngine
Pricing engine for 2D European Baskets. More...
#include <ql/pricingengines/basket/stulzengine.hpp>
Public Member Functions | |
StulzEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, Real correlation) | |
void | calculate () const |
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.