executeIntermediateStep (3) Linux Manual Page
QuantLib::FDBermudanEngine – Finite-differences Bermudan engine. Synopsis #include <ql/pricingengines/vanilla/fdbermudanengine.hpp> Inherits VanillaOption::engine, and QuantLib::FDMultiPeriodEngine. Public Member Functions FDBermudanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) void calculate () const Protected Member Functions void initializeStepCondition () const void executeIntermediateStep (Size) const Protected Attributes Real extraTermInBermudan Detailed Description Finite-differences Bermudan engine. Examples: EquityOption.cpp. Author Generated…
