Pricing engine for European vanilla options using integral approach. More...
#include <integralengine.hpp>
Inheritance diagram for IntegralEngine:
Collaboration diagram for IntegralEngine:
Public Member Functions | |
| IntegralEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >) | |
| void | calculate () const override |
Private Attributes | |
| ext::shared_ptr< GeneralizedBlackScholesProcess > | process_ |
Detailed Description
Pricing engine for European vanilla options using integral approach.
Definition at line 39 of file integralengine.hpp.
Constructor & Destructor Documentation
◆ IntegralEngine()
| IntegralEngine | ( | ext::shared_ptr< GeneralizedBlackScholesProcess > | process | ) |
Definition at line 48 of file integralengine.cpp.
Member Function Documentation
◆ calculate()
|
override |
Definition at line 53 of file integralengine.cpp.
Member Data Documentation
◆ process_
|
private |
Definition at line 45 of file integralengine.hpp.