fdeuropeanengine (3) - Linux Manuals

fdeuropeanengine: Finite-difference European engine.

NAME

ql/pricingengines/vanilla/fdeuropeanengine.hpp - Finite-difference European engine.

SYNOPSIS

#include <ql/instruments/oneassetoption.hpp>
#include <ql/pricingengines/vanilla/fdvanillaengine.hpp>
#include <ql/math/sampledcurve.hpp>

Classes

class FDEuropeanEngine
Pricing engine for European options using finite-differences.

Detailed Description

Finite-difference European engine.

Author

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