BinomialVanillaEngine< T > Class Template Reference

Pricing engine for vanilla options using binomial trees. More...

#include <binomialengine.hpp>

Inheritance diagram for BinomialVanillaEngine< T >:

Collaboration diagram for BinomialVanillaEngine< T >:

Public Member Functions
	BinomialVanillaEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Size timeSteps)
void	calculate () const override

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
Size	timeSteps_

Detailed Description

template<class T>
class QuantLib::BinomialVanillaEngine< T >

Pricing engine for vanilla options using binomial trees.

Tests:

the correctness of the returned values is tested by checking it against analytic results.

Definition at line 54 of file binomialengine.hpp.

Constructor & Destructor Documentation

BinomialVanillaEngine()

BinomialVanillaEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process,
		Size	timeSteps
	)

Definition at line 56 of file binomialengine.hpp.

Member Function Documentation

calculate()

void calculate

override

Definition at line 75 of file binomialengine.hpp.

Here is the call graph for this function:

Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 67 of file binomialengine.hpp.

timeSteps_

Size timeSteps_

private

Definition at line 68 of file binomialengine.hpp.