1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2002, 2003, 2004 Ferdinando Ametrano
5 Copyright (C) 2002, 2003 RiskMap srl
6 Copyright (C) 2003, 2004 StatPro Italia srl
7
8 This file is part of QuantLib, a free-software/open-source library
9 for financial quantitative analysts and developers - http://quantlib.org/
10
11 QuantLib is free software: you can redistribute it and/or modify it
12 under the terms of the QuantLib license. You should have received a
13 copy of the license along with this program; if not, please email
14 <quantlib-dev@lists.sf.net>. The license is also available online at
15 <http://quantlib.org/license.shtml>.
16
17 This program is distributed in the hope that it will be useful, but WITHOUT
18 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19 FOR A PARTICULAR PURPOSE. See the license for more details.
20*/
21
22/*! \file integralengine.hpp
23 \brief Integral option engine
24*/
25
26#ifndef quantlib_integral_engine_hpp
27#define quantlib_integral_engine_hpp
28
29#include <ql/instruments/vanillaoption.hpp>
30#include <ql/processes/blackscholesprocess.hpp>
31
32namespace QuantLib {
33
34 //! Pricing engine for European vanilla options using integral approach
35 /*! \todo define tolerance for calculate()
36
37 \ingroup vanillaengines
38 */
39 class IntegralEngine : public VanillaOption::engine {
40 public:
41 IntegralEngine(ext::shared_ptr<GeneralizedBlackScholesProcess>);
42 void calculate() const override;
43
44 private:
45 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
46 };
47
48}
49
50
51#endif
52

source code of quantlib/ql/pricingengines/vanilla/integralengine.hpp