IntegralEngine Class Reference

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

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

Inherits VanillaOption::engine.

List of all members.

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.