QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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base class for FFT option pricing engines More...
Go to the source code of this file.
Classes | |
class | FFTEngine |
Base class for FFT pricing engines for European vanilla options. More... | |
Namespaces | |
namespace | QuantLib |
base class for FFT option pricing engines
Definition in file fftengine.hpp.