IntegralEngine Class Reference

Pricing engine for European vanilla options using integral approach. More...

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

Inherits 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.