binomialengine (3) Linux Manual Page
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.