External module "ql/pricingengines/basket/stulzengine"

Index

Classes

StulzEngine

Functions

Functions

euroTwoAssetMaxBasketCall

euroTwoAssetMaxBasketCall(forward1: Real, forward2: Real, strike: Real, riskFreeDiscount: DiscountFactor, variance1: Real, variance2: Real, rho: Real): Real

- Defined in ql/pricingengines/basket/stulzengine.ts:208
Parameters
- forward1: Real
- forward2: Real
- strike: Real
- riskFreeDiscount: DiscountFactor
- variance1: Real
- variance2: Real
- rho: Real
Returns Real

euroTwoAssetMinBasketCall

euroTwoAssetMinBasketCall(forward1: Real, forward2: Real, strike: Real, riskFreeDiscount: DiscountFactor, variance1: Real, variance2: Real, rho: Real): Real

- Defined in ql/pricingengines/basket/stulzengine.ts:164
Parameters
- forward1: Real
- forward2: Real
- strike: Real
- riskFreeDiscount: DiscountFactor
- variance1: Real
- variance2: Real
- rho: Real
Returns Real