BinomialVanillaEngine< T > Class Template Reference

Pricing engine for vanilla options using binomial trees. More...

#include <ql/pricingengines/vanilla/binomialengine.hpp>

Inherits OneAssetOption::engine.

Public Member Functions
	BinomialVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps)

void	calculate () const

Public Member Functions inherited from GenericEngine< OneAssetOption::arguments, OneAssetOption::results >
PricingEngine::arguments *	getArguments () const

const PricingEngine::results *	getResults () const

void	reset ()

void	update ()

Public Member Functions inherited from Observable
	Observable (const Observable &)

Observable &	operator= (const Observable &)

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer (const Observer &)

Observer &	operator= (const Observer &)

std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool >	registerWith (const boost::shared_ptr< Observable > &)

Size	unregisterWith (const boost::shared_ptr< Observable > &)

void	unregisterWithAll ()

Additional Inherited Members
Protected Attributes inherited from GenericEngine< OneAssetOption::arguments, OneAssetOption::results >
OneAssetOption::arguments	arguments_

OneAssetOption::results	results_

Detailed Description

Pricing engine for vanilla options using binomial trees.

Tests:: the correctness of the returned values is tested by checking it against analytic results.

Possible enhancements:: Greeks are not overly accurate. They could be improved by building a tree so that it has three points at the current time. The value would be fetched from the middle one, while the two side points would be used for estimating partial derivatives.