QuantLib 0.3.6
User manual
Introduction to QuantLib
QuantLib components
Reference manual
BaroneAdesiWhaleyApproximationEngine Class Reference
#include <ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.hpp>
Inheritance diagram for BaroneAdesiWhaleyApproximationEngine:
Detailed Description
Pricing engine for American vanilla options with Barone-Adesi and Whaley approximation (1987)
Public Member Functions | |
| void | calculate () const |
