NAME

QuantLib::BinomialVanillaEngine - Pricing engine for vanilla options using binomial trees.

SYNOPSIS


#include <ql/pricingengines/vanilla/binomialengine.hpp>

Inherits QuantLib::OneAssetOption::engine.

Public Member Functions


BinomialVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps)

void calculate () const

Detailed Description

template<class T> class QuantLib::BinomialVanillaEngine< T >

Pricing engine for vanilla options using binomial trees.

Tests

the correctness of the returned values is tested by checking it against analytic results.

Possible enhancements

Greeks are not overly accurate. They could be improved by building a tree so that it has three points at the current time. The value would be fetched from the middle one, while the two side points would be used for estimating partial derivatives.

Examples:

EquityOption.cpp.

Author

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