FDStepConditionEngine (3) - Linux Manuals
FDStepConditionEngine: Finite-differences pricing engine for American-style vanilla options.
NAME
QuantLib::FDStepConditionEngine - Finite-differences pricing engine for American-style vanilla options.
SYNOPSIS
#include <ql/pricingengines/vanilla/fdstepconditionengine.hpp>
Inherits QuantLib::FDVanillaEngine.
Public Member Functions
FDStepConditionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false)
Protected Member Functions
virtual void initializeStepCondition () const =0
virtual void calculate (PricingEngine::results *) const
Protected Attributes
boost::shared_ptr< StandardStepCondition > stepCondition_
SampledCurve prices_
TridiagonalOperator controlOperator_
std::vector< boost::shared_ptr< bc_type > > controlBCs_
SampledCurve controlPrices_
Detailed Description
Finite-differences pricing engine for American-style vanilla options.
Author
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