QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
fftengine.hpp File Reference

base class for FFT option pricing engines More...

#include <ql/instruments/vanillaoption.hpp>
#include <ql/stochasticprocess.hpp>
#include <complex>

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Classes

class  FFTEngine
 Base class for FFT pricing engines for European vanilla options. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

base class for FFT option pricing engines

Definition in file fftengine.hpp.