QuantLib_IntegralEngine (3) - Linux Manuals
QuantLib_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
Generated automatically by Doxygen for QuantLib from the source code.