FDAmericanEngine (3) Linux Manual Page

ql/pricingengines/vanilla/fdamericanengine.hpp – Finite-differences American option engine.

Synopsis

#include <ql/instruments/oneassetoption.hpp>
#include <ql/pricingengines/vanilla/fdstepconditionengine.hpp>
#include <ql/pricingengines/vanilla/fdconditions.hpp>
#include <ql/methods/finitedifferences/fdtypedefs.hpp>

Typedefs

typedef FDEngineAdapter< FDAmericanCondition< FDStepConditionEngine >, OneAssetOption::engine > FDAmericanEngine
Finite-differences pricing engine for American one asset options.

Detailed Description

Finite-differences American option engine.

Author

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