Analytic two-asset correlation option engine. More...
#include <ql/experimental/exoticoptions/analytictwoassetcorrelationengine.hpp>
Inherits TwoAssetCorrelationOption::engine.
Public Member Functions | |
AnalyticTwoAssetCorrelationEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &p1, const ext::shared_ptr< GeneralizedBlackScholesProcess > &p2, const Handle< Quote > &correlation) | |
void | calculate () const |
Analytic two-asset correlation option engine.