IntegralEngine (3) Linux Manual Page
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.