FDStepConditionEngine (3) Linux Manual Page
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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