QuantLib
A free/open-source library for quantitative finance
Fully annotated sources - version 1.22
analyticeuropeanengine.hpp
1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2002, 2003, 2004 Ferdinando Ametrano
5  Copyright (C) 2002, 2003 RiskMap srl
6  Copyright (C) 2003, 2004, 2007 StatPro Italia srl
7 
8  This file is part of QuantLib, a free-software/open-source library
9  for financial quantitative analysts and developers - http://quantlib.org/
10 
11  QuantLib is free software: you can redistribute it and/or modify it
12  under the terms of the QuantLib license. You should have received a
13  copy of the license along with this program; if not, please email
14  <quantlib-dev@lists.sf.net>. The license is also available online at
15  <http://quantlib.org/license.shtml>.
16 
17  This program is distributed in the hope that it will be useful, but WITHOUT
18  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19  FOR A PARTICULAR PURPOSE. See the license for more details.
20 */
21 
26 #ifndef quantlib_analytic_european_engine_hpp
27 #define quantlib_analytic_european_engine_hpp
28 
29 #include <ql/instruments/vanillaoption.hpp>
30 #include <ql/processes/blackscholesprocess.hpp>
31 
32 namespace QuantLib {
33 
35 
62  public:
67  explicit AnalyticEuropeanEngine(ext::shared_ptr<GeneralizedBlackScholesProcess>);
68 
74  AnalyticEuropeanEngine(ext::shared_ptr<GeneralizedBlackScholesProcess> process,
75  Handle<YieldTermStructure> discountCurve);
76  void calculate() const override;
77 
78  private:
79  ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
81  };
82 
83 }
84 
85 
86 #endif
QuantLib::Handle< YieldTermStructure >
QuantLib::OneAssetOption::engine
Definition: oneassetoption.hpp:82
QuantLib::AnalyticEuropeanEngine
Pricing engine for European vanilla options using analytical formulae.
Definition: analyticeuropeanengine.hpp:61
QuantLib::AnalyticEuropeanEngine::discountCurve_
Handle< YieldTermStructure > discountCurve_
Definition: analyticeuropeanengine.hpp:80
QuantLib::AnalyticEuropeanEngine::AnalyticEuropeanEngine
AnalyticEuropeanEngine(ext::shared_ptr< GeneralizedBlackScholesProcess >)
Definition: analyticeuropeanengine.cpp:28
QuantLib::AnalyticEuropeanEngine::calculate
void calculate() const override
Definition: analyticeuropeanengine.cpp:42
QuantLib::AnalyticEuropeanEngine::process_
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Definition: analyticeuropeanengine.hpp:79
QuantLib
Definition: cashflow.cpp:25