fftengine.hpp File Reference

base class for FFT option pricing engines More...

#include <ql/instruments/vanillaoption.hpp>
#include <ql/stochasticprocess.hpp>
#include <complex>
Include dependency graph for fftengine.hpp:

Classes

class  FFTEngine
 Base class for FFT pricing engines for European vanilla options. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

base class for FFT option pricing engines