StulzEngine Class Reference

Pricing engine for 2D European Baskets. More...

#include <ql/pricingengines/basket/stulzengine.hpp>

Inheritance diagram for StulzEngine:

Public Member Functions
	StulzEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, Real correlation)
void	calculate () const

Additional Inherited Members
Protected Attributes inherited from GenericEngine< BasketOption::arguments, BasketOption::results >
BasketOption::arguments	arguments_
BasketOption::results	results_

Detailed Description

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.

Tests:

the correctness of the returned value is tested by reproducing results available in literature.