QuantLib_IntegralEngine

Langue: en

Autres versions - même langue

Version: 380219 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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