fdstepconditionengine (3) - Linux Man Pages

fdstepconditionengine: Finite-differences step-condition engine.

NAME

ql/pricingengines/vanilla/fdstepconditionengine.hpp - Finite-differences step-condition engine.

SYNOPSIS


#include <ql/pricingengines/vanilla/fdvanillaengine.hpp>
#include <ql/methods/finitedifferences/fdtypedefs.hpp>
#include <ql/methods/finitedifferences/boundarycondition.hpp>

Classes


class FDStepConditionEngine
Finite-differences pricing engine for American-style vanilla options.

Detailed Description

Finite-differences step-condition engine.

Author

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