QuantLib 0.3.7
http://quantlib.org
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Examples
IntegralEngine Class Reference
[
Vanilla option engines
]
#include <ql/PricingEngines/Vanilla/integralengine.hpp>
Inheritance diagram for IntegralEngine:
[
legend
]
List of all members.
Detailed Description
Pricing engine for European vanilla options using integral approach
Todo:
define tolerance for calculate()
Public Member Functions
void
calculate
() const
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