AnalyticEuropeanEngine Class Reference

Pricing engine for European vanilla options using analytical formulae. More...

#include <qle/pricingengines/analyticeuropeanengine.hpp>

Inheritance diagram for AnalyticEuropeanEngine:

Public Member Functions
	AnalyticEuropeanEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > gbsp, const bool flipResults=false)
	AnalyticEuropeanEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Handle< YieldTermStructure > discountCurve, const bool flipResults=false)
void	calculate () const override

Detailed Description

Pricing engine for European vanilla options using analytical formulae.