QuantLib_IntegralEngine (3) - Linux Manuals

QuantLib_IntegralEngine: Pricing engine for European vanilla options using integral approach.

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

Generated automatically by Doxygen for QuantLib from the source code.