QuantLib: a free/open-source library for quantitative finance
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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
32namespace 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
Pricing engine for European vanilla options using analytical formulae.
Handle< YieldTermStructure > discountCurve_
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Shared handle to an observable.
Definition: handle.hpp:41
Definition: any.hpp:35