binomialengine (3) - Linux Manuals

binomialengine: Binomial option engine.

NAME

ql/pricingengines/vanilla/binomialengine.hpp - Binomial option engine.

SYNOPSIS

#include <ql/methods/lattices/binomialtree.hpp>
#include <ql/methods/lattices/bsmlattice.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/pricingengines/vanilla/discretizedvanillaoption.hpp>
#include <ql/pricingengines/greeks.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>

Classes

class BinomialVanillaEngine< T >
Pricing engine for vanilla options using binomial trees.

Detailed Description

Binomial option engine.

Author

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