binomialengine.hpp

Langue: en

Autres versions - même langue

Version: 381132 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/vanilla/binomialengine.hpp -

Binomial option engine.

SYNOPSIS


#include <ql/methods/lattices/binomialtree.hpp>
#include <ql/methods/lattices/bsmlattice.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/pricingengines/vanilla/discretizedvanillaoption.hpp>
#include <ql/pricingengines/greeks.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>

Classes


class BinomialVanillaEngine< T >
Pricing engine for vanilla options using binomial trees.

Detailed Description

Binomial option engine.

Author

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