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<div class="title">Vanilla option engines</div> </div>
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Classes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_variance_gamma_engine.html">VarianceGammaEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Variance Gamma Pricing engine for European vanilla options using integral approach. <a href="class_quant_lib_1_1_variance_gamma_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_f_f_t_engine.html">FFTEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Base class for FFT pricing engines for European vanilla options. <a href="class_quant_lib_1_1_f_f_t_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_f_f_t_vanilla_engine.html">FFTVanillaEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">FFT Pricing engine vanilla options under a Black Scholes process. <a href="class_quant_lib_1_1_f_f_t_vanilla_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_f_f_t_variance_gamma_engine.html">FFTVarianceGammaEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">FFT engine for vanilla options under a Variance Gamma process. <a href="class_quant_lib_1_1_f_f_t_variance_gamma_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_analytic_b_s_m_hull_white_engine.html">AnalyticBSMHullWhiteEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">analytic european option pricer including stochastic interest rates <a href="class_quant_lib_1_1_analytic_b_s_m_hull_white_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_analytic_digital_american_engine.html">AnalyticDigitalAmericanEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Analytic pricing engine for American vanilla options with digital payoff. <a href="class_quant_lib_1_1_analytic_digital_american_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_analytic_dividend_european_engine.html">AnalyticDividendEuropeanEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Analytic pricing engine for European options with discrete dividends. <a href="class_quant_lib_1_1_analytic_dividend_european_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_analytic_european_engine.html">AnalyticEuropeanEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Pricing engine for European vanilla options using analytical formulae. <a href="class_quant_lib_1_1_analytic_european_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_analytic_g_j_r_g_a_r_c_h_engine.html">AnalyticGJRGARCHEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">GJR-GARCH(1,1) engine. <a href="class_quant_lib_1_1_analytic_g_j_r_g_a_r_c_h_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_analytic_heston_engine.html">AnalyticHestonEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">analytic Heston-model engine based on Fourier transform <a href="class_quant_lib_1_1_analytic_heston_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_analytic_heston_hull_white_engine.html">AnalyticHestonHullWhiteEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Analytic Heston engine incl. stochastic interest rates. <a href="class_quant_lib_1_1_analytic_heston_hull_white_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_analytic_p_t_d_heston_engine.html">AnalyticPTDHestonEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">analytic piecewise constant time dependent Heston-model engine <a href="class_quant_lib_1_1_analytic_p_t_d_heston_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_barone_adesi_whaley_approximation_engine.html">BaroneAdesiWhaleyApproximationEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Barone-Adesi and Whaley pricing engine for American options (1987) <a href="class_quant_lib_1_1_barone_adesi_whaley_approximation_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_bates_engine.html">BatesEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Bates model engines based on Fourier transform. <a href="class_quant_lib_1_1_bates_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_binomial_vanilla_engine.html">BinomialVanillaEngine< T ></a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Pricing engine for vanilla options using binomial trees. <a href="class_quant_lib_1_1_binomial_vanilla_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_bjerksund_stensland_approximation_engine.html">BjerksundStenslandApproximationEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Bjerksund and Stensland pricing engine for American options (1993) <a href="class_quant_lib_1_1_bjerksund_stensland_approximation_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_f_d_american_engine.html">FDAmericanEngine< Scheme ></a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences pricing engine for American one asset options. <a href="class_quant_lib_1_1_f_d_american_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_fd_bates_vanilla_engine.html">FdBatesVanillaEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Partial Integro FiniteDifferences Bates Vanilla <a class="el" href="class_quant_lib_1_1_option.html" title="base option class">Option</a> engine. <a href="class_quant_lib_1_1_fd_bates_vanilla_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_f_d_bermudan_engine.html">FDBermudanEngine< Scheme ></a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences Bermudan engine. <a href="class_quant_lib_1_1_f_d_bermudan_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_f_d_dividend_american_engine.html">FDDividendAmericanEngine< Scheme ></a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences pricing engine for dividend American options. <a href="class_quant_lib_1_1_f_d_dividend_american_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_f_d_dividend_engine_merton73.html">FDDividendEngineMerton73< Scheme ></a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences pricing engine for dividend options using escowed dividends model. <a href="class_quant_lib_1_1_f_d_dividend_engine_merton73.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_f_d_dividend_engine_shift_scale.html">FDDividendEngineShiftScale< Scheme ></a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences engine for dividend options using shifted dividends. <a href="class_quant_lib_1_1_f_d_dividend_engine_shift_scale.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_f_d_dividend_european_engine.html">FDDividendEuropeanEngine< Scheme ></a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences pricing engine for dividend European options. <a href="class_quant_lib_1_1_f_d_dividend_european_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_f_d_dividend_shout_engine.html">FDDividendShoutEngine< Scheme ></a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences shout engine with dividends. <a href="class_quant_lib_1_1_f_d_dividend_shout_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_f_d_european_engine.html">FDEuropeanEngine< Scheme ></a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Pricing engine for European options using finite-differences. <a href="class_quant_lib_1_1_f_d_european_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_fd_heston_hull_white_vanilla_engine.html">FdHestonHullWhiteVanillaEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-Differences Heston Hull-White Vanilla <a class="el" href="class_quant_lib_1_1_option.html" title="base option class">Option</a> engine. <a href="class_quant_lib_1_1_fd_heston_hull_white_vanilla_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_fd_heston_vanilla_engine.html">FdHestonVanillaEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-Differences Heston Vanilla <a class="el" href="class_quant_lib_1_1_option.html" title="base option class">Option</a> engine. <a href="class_quant_lib_1_1_fd_heston_vanilla_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_f_d_shout_engine.html">FDShoutEngine< Scheme ></a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences pricing engine for shout vanilla options. <a href="class_quant_lib_1_1_f_d_shout_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_f_d_step_condition_engine.html">FDStepConditionEngine< Scheme ></a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences pricing engine for American-style vanilla options. <a href="class_quant_lib_1_1_f_d_step_condition_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_f_d_vanilla_engine.html">FDVanillaEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences pricing engine for BSM one asset options. <a href="class_quant_lib_1_1_f_d_vanilla_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_integral_engine.html">IntegralEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Pricing engine for European vanilla options using integral approach. <a href="class_quant_lib_1_1_integral_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_jump_diffusion_engine.html">JumpDiffusionEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Jump-diffusion engine for vanilla options. <a href="class_quant_lib_1_1_jump_diffusion_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_ju_quadratic_approximation_engine.html">JuQuadraticApproximationEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Pricing engine for American options with Ju quadratic approximation. <a href="class_quant_lib_1_1_ju_quadratic_approximation_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_m_c_american_engine.html">MCAmericanEngine< RNG, S ></a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">American Monte Carlo engine. <a href="class_quant_lib_1_1_m_c_american_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_m_c_digital_engine.html">MCDigitalEngine< RNG, S ></a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Pricing engine for digital options using Monte Carlo simulation. <a href="class_quant_lib_1_1_m_c_digital_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_m_c_european_engine.html">MCEuropeanEngine< RNG, S ></a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">European option pricing engine using Monte Carlo simulation. <a href="class_quant_lib_1_1_m_c_european_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_m_c_european_g_j_r_g_a_r_c_h_engine.html">MCEuropeanGJRGARCHEngine< RNG, S ></a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Monte Carlo GJR-GARCH-model engine for European options. <a href="class_quant_lib_1_1_m_c_european_g_j_r_g_a_r_c_h_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_m_c_european_heston_engine.html">MCEuropeanHestonEngine< RNG, S ></a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Monte Carlo Heston-model engine for European options. <a href="class_quant_lib_1_1_m_c_european_heston_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_m_c_vanilla_engine.html">MCVanillaEngine< MC, RNG, S, Inst ></a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Pricing engine for vanilla options using Monte Carlo simulation. <a href="class_quant_lib_1_1_m_c_vanilla_engine.html#details">More...</a><br/></td></tr>
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