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batesengine.hpp
Langue: en
Version: 380834 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/pricingengines/vanilla/batesengine.hpp -analytic Bates model engine
SYNOPSIS
#include <ql/qldefines.hpp>
#include <ql/models/equity/batesmodel.hpp>
#include <ql/pricingengines/vanilla/analytichestonengine.hpp>
Classes
class BatesEngine
Bates model engines based on Fourier transform.
Detailed Description
analytic Bates model engine
Author
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