FDStepConditionEngine (3) Linux Manual Page

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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