Package org.jquantlib.pricingengines

Interface Summary

Interface	Description
PricingEngine	interface for pricing engines
PricingEngine.Arguments
PricingEngine.Results

Class Summary

Class	Description
AmericanPayoffAtExpiry	Analytical formulae for american exercise with payoff at expiry
AmericanPayoffAtHit	Analytic formula for American exercise payoff at-hit options
AnalyticEuropeanEngine	Pricing engine for European vanilla options using analytical formulae
BinomialConvertibleEngine<T extends BinomialTree>	Binomial Tsiveriotis-Fernandes engine for convertible bonds
BlackCalculator	Black 1976 calculator class
BlackFormula	Black 1976 formula
GenericEngine<A extends Instrument.Arguments,R extends Instrument.Results>	This is a generic definition of a PriceEngine which takes its arguments from an Arguments structure and returns its results in a Results structure.
GenericModelEngine<M extends CalibratedModel,A extends Instrument.Arguments,R extends Instrument.Results>	Base class for some pricing engine on a particular model.
MCSimulation<MC extends Variate,RNG extends RandomNumberGenerator,S extends Statistics>	Base class for Monte Carlo engines