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fftengine.hpp File Reference

base class for FFT option pricing engines More...

#include <ql/instruments/vanillaoption.hpp>
#include <ql/stochasticprocess.hpp>
#include <complex>
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Classes

class  QuantLib::FFTEngine
 Base class for FFT pricing engines for European vanilla options. More...

Namespaces

namespace  QuantLib

Detailed Description

base class for FFT option pricing engines

Definition in file fftengine.hpp.


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