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integralengine.hpp

Langue: en

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Version: 160364 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

ql/pricingengines/vanilla/integralengine.hpp - Integral option engine.

#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

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

Integral option engine.

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