First pass European pricing engine

Posted by Joseph Wang on
URL: http://quantlib.414.s1.nabble.com/Question-about-Finite-Differencing-engine-tp3562p3568.html

I've attached the first pass at a european pricing engine at

http://wiki.quantlib.org/twiki/bin/view/Quantlib/FiniteDifferencePricingEngines

It includes a unit test which seems to pass.

Over the next week or two, I'd like to modify the finite difference
engine and the old pricers to take into account term structures for the
European options.