FDShoutEngine (3) Linux Manual Page

ql/pricingengines/vanilla/fdshoutengine.hpp – Finite-differences shout engine.

Synopsis

#include <ql/pricingengines/vanilla/fdstepconditionengine.hpp>
#include <ql/pricingengines/vanilla/fdconditions.hpp>
#include <ql/instruments/vanillaoption.hpp>

Typedefs

typedef FDEngineAdapter< FDShoutCondition< FDStepConditionEngine >, VanillaOption::engine > FDShoutEngine
Finite-differences pricing engine for shout vanilla options.

Detailed Description

Finite-differences shout engine.

Author

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