IntegralEngine (3) - Linux Manuals

IntegralEngine: Pricing engine for European vanilla options using integral approach.

NAME

QuantLib::IntegralEngine - Pricing engine for European vanilla options using integral approach.

SYNOPSIS

#include <ql/pricingengines/vanilla/integralengine.hpp>

Inherits VanillaOption::engine.

Public Member Functions

IntegralEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)

void calculate () const

Detailed Description

Pricing engine for European vanilla options using integral approach.

Possible enhancements

define tolerance for calculate()

Examples:

EquityOption.cpp.

Author

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