controloperator_(3)

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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