QuantLib_FDEuropeanEngine (3) - Linux Man Pages

QuantLib_FDEuropeanEngine: Pricing engine for European options using finite-differences.

NAME

QuantLib::FDEuropeanEngine - Pricing engine for European options using finite-differences.

SYNOPSIS


#include <ql/pricingengines/vanilla/fdeuropeanengine.hpp>

Inherits QuantLib::OneAssetOption::engine, and QuantLib::FDVanillaEngine.

Public Member Functions


FDEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)

Detailed Description

Pricing engine for European options using finite-differences.

Tests

the correctness of the returned value is tested by checking it against analytic results.

Examples:

EquityOption.cpp.

Author

Generated automatically by Doxygen for QuantLib from the source code.