Bojan Nikolic: Using and Understanding the QuantLib Addin

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qlBinomialPricingEngine – Create pricing engines with discretised time

Creates an engine which uses discretised time (e.g., binomial or finite-difference). See also qlPricingEngine – Create a engine for pricing derivatives.


=qlBinomialPricingEngine(<ObjPrefix>, <EngineID>,
                         <ProcessID>, <TimeSteps>)

Optional prefix for names of objects created with this function


The type of engine that is to be constructed. Should be one of following:

  • AEQPB – AdditiveEQPBinomialTree

  • CRR – CoxRossRubinstein

  • FDA – FDAmericanEngine

  • FDB – FDBermudanEngine

  • FDE – FDEuropeanEngine

  • JOSHI – Joshi4

  • JR – JarrowRudd [multiplicative, equal probabilities binomial tree]

  • LR – LeisenReimer [multiplicative]

  • TIAN – Tian [third moment matching, multiplicative]

  • TRI – Trigeorgis [additive equal jumps binomial tree]


Object of type GeneralizedBlackScholesProcess, created for example with qlGeneralizedBlackScholesProcess – Create an object representing the Black-Scholes process


Number of timesteps to use in the computation