IntegralEngine Class Reference
Pricing engine for European vanilla options using integral approach. More...
#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: