controlOperator_ (3) - Linux Man Pages

controlOperator_: 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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