FDEuropeanEngine (3) Linux Manual Page
NAME
ql/pricingengines/vanilla/fdeuropeanengine.hpp – Finite-difference European engine.
SYNOPSIS
#include <ql/instruments/oneassetoption.hpp>
#include <ql/pricingengines/vanilla/fdvanillaengine.hpp>
#include <ql/math/sampledcurve.hpp>
Classes
class FDEuropeanEngine
Pricing engine for European options using finite-differences.
Detailed Description
Finite-difference European engine.
Author
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