QuantLib: Vanilla option engines

A free/open-source library for quantitative finance Reference manual - version 1.12

Classes
Vanilla option engines
Pricing engines

## Classes
class | VarianceGammaEngine
| Variance Gamma Pricing engine for European vanilla options using integral approach. More...
class | FFTEngine
| Base class for FFT pricing engines for European vanilla options. More...
class | FFTVanillaEngine
| FFT Pricing engine vanilla options under a Black Scholes process. More...
class | FFTVarianceGammaEngine
| FFT engine for vanilla options under a Variance Gamma process. More...
class | AnalyticBSMHullWhiteEngine
| analytic european option pricer including stochastic interest rates More...
class | AnalyticDigitalAmericanEngine
| Analytic pricing engine for American vanilla options with digital payoff. More...
class | AnalyticDigitalAmericanKOEngine
| Analytic pricing engine for American Knock-out options with digital payoff. More...
class | AnalyticDividendEuropeanEngine
| Analytic pricing engine for European options with discrete dividends. More...
class | AnalyticEuropeanEngine
| Pricing engine for European vanilla options using analytical formulae. More...
class | AnalyticGJRGARCHEngine
| GJR-GARCH(1,1) engine. More...
class | AnalyticH1HWEngine
| Analytic Heston-Hull-White engine based on the H1-HW approximation. More...
class | AnalyticHestonEngine
| analytic Heston-model engine based on Fourier transform More...
class | AnalyticHestonHullWhiteEngine
| Analytic Heston engine incl. stochastic interest rates. More...
class | AnalyticPTDHestonEngine
| analytic piecewise constant time dependent Heston-model engine More...
class | BaroneAdesiWhaleyApproximationEngine
| Barone-Adesi and Whaley pricing engine for American options (1987) More...
class | BatesEngine
| Bates model engines based on Fourier transform. More...
class | BinomialVanillaEngine< T >
| Pricing engine for vanilla options using binomial trees. More...
class | BjerksundStenslandApproximationEngine
| Bjerksund and Stensland pricing engine for American options (1993) More...
class | COSHestonEngine
| COS-method Heston engine based on efficient Fourier series expansions. More...
class | FDAmericanEngine< Scheme >
| Finite-differences pricing engine for American one asset options. More...
class | FdBatesVanillaEngine
| Partial Integro FiniteDifferences Bates Vanilla Option engine. More...
class | FDBermudanEngine< Scheme >
| Finite-differences Bermudan engine. More...
class | FDDividendAmericanEngine< Scheme >
| Finite-differences pricing engine for dividend American options. More...
class | FDDividendEngineMerton73< Scheme >
| Finite-differences pricing engine for dividend options using escowed dividends model. More...
class | FDDividendEngineShiftScale< Scheme >
| Finite-differences engine for dividend options using shifted dividends. More...
class | FDDividendEuropeanEngine< Scheme >
| Finite-differences pricing engine for dividend European options. More...
class | FDDividendShoutEngine< Scheme >
| Finite-differences shout engine with dividends. More...
class | FDEuropeanEngine< Scheme >
| Pricing engine for European options using finite-differences. More...
class | FdHestonHullWhiteVanillaEngine
| Finite-Differences Heston Hull-White Vanilla Option engine. More...
class | FdHestonVanillaEngine
| Finite-Differences Heston Vanilla Option engine. More...
class | FDShoutEngine< Scheme >
| Finite-differences pricing engine for shout vanilla options. More...
class | FDStepConditionEngine< Scheme >
| Finite-differences pricing engine for American-style vanilla options. More...
class | FDVanillaEngine
| Finite-differences pricing engine for BSM one asset options. More...
class | HestonExpansionEngine
| Heston-model engine for European options based on analytic expansions. More...
class | IntegralEngine
| Pricing engine for European vanilla options using integral approach. More...
class | JumpDiffusionEngine
| Jump-diffusion engine for vanilla options. More...
class | JuQuadraticApproximationEngine
| Pricing engine for American options with Ju quadratic approximation. More...
class | MCAmericanEngine< RNG, S, RNG_Calibration >
| American Monte Carlo engine. More...
class | MCDigitalEngine< RNG, S >
| Pricing engine for digital options using Monte Carlo simulation. More...
class | MCEuropeanEngine< RNG, S >
| European option pricing engine using Monte Carlo simulation. More...
class | MCEuropeanGJRGARCHEngine< RNG, S >
| Monte Carlo GJR-GARCH-model engine for European options. More...
class | MCEuropeanHestonEngine< RNG, S, P >
| Monte Carlo Heston-model engine for European options. More...
class | MCVanillaEngine< MC, RNG, S, Inst >
| Pricing engine for vanilla options using Monte Carlo simulation. More...

## Detailed Description