QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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intrinsic value engine using dynamic programming More...
#include <ql/pricingengine.hpp>
#include <ql/experimental/finitedifferences/vanillavppoption.hpp>
#include <vector>
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Classes | |
class | DynProgVPPIntrinsicValueEngine |
Namespaces | |
namespace | QuantLib |
intrinsic value engine using dynamic programming
Definition in file dynprogvppintrinsicvalueengine.hpp.