QuantLib_FDVanillaEngine (3) - Linux Manuals

QuantLib_FDVanillaEngine: Finite-differences pricing engine for BSM one asset options.


QuantLib::FDVanillaEngine - Finite-differences pricing engine for BSM one asset options.


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

Inherited by FDEuropeanEngine, FDMultiPeriodEngine, and FDStepConditionEngine.

Public Member Functions

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

const Array & grid () const

Protected Types

typedef BoundaryCondition< TridiagonalOperator > bc_type

Protected Member Functions

virtual void setupArguments (const PricingEngine::arguments *) const

virtual void setGridLimits () const

virtual void setGridLimits (Real, Time) const

virtual void initializeInitialCondition () const

virtual void initializeBoundaryConditions () const

virtual void initializeOperator () const

virtual Time getResidualTime () const

void ensureStrikeInGrid () const

Protected Attributes

boost::shared_ptr< GeneralizedBlackScholesProcess > process_

Size timeSteps_

Size gridPoints_

bool timeDependent_

Real requiredGridValue_

Date exerciseDate_

boost::shared_ptr< Payoff > payoff_

TridiagonalOperator finiteDifferenceOperator_

SampledCurve intrinsicValues_

std::vector< boost::shared_ptr< bc_type > > BCs_

Real sMin_

Real center_

Real sMax_

Detailed Description

Finite-differences pricing engine for BSM one asset options.

The name is a misnomer as this is a base class for any finite difference scheme. Its main job is to handle grid layout.


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