BinomialVanillaEngine Class Reference

#include <vanillaengines.hpp>

Inheritance diagram for BinomialVanillaEngine:

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Detailed Description

Pricing engine for Vanilla options using binomial trees.


Public Types

enum  Type {
  CoxRossRubinstein, JarrowRudd, EQP, Trigeorgis,
  Tian
}

Public Member Functions

 BinomialVanillaEngine (Type type, Size timeSteps)
void calculate () const


The documentation for this class was generated from the following files:

QuantLib.org
QuantLib
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