batesengine.hpp

Langue: en

Autres versions - même langue

Version: 166369 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/vanilla/batesengine.hpp - analytic Bates model engine

SYNOPSIS


#include <ql/qldefines.hpp>
#include <ql/models/equity/batesmodel.hpp>
#include <ql/pricingengines/vanilla/analytichestonengine.hpp>

Classes


class BatesEngine
Bates model engines based on Fourier transform.

Detailed Description

analytic Bates model engine

Author

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