FDVanillaEngine (3) Linux Manual Page

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

Synopsis

#include <ql/pricingengine.hpp>
#include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
#include <ql/methods/finitedifferences/boundarycondition.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/sampledcurve.hpp>
#include <ql/payoff.hpp>

Classes

class FDVanillaEngine
Finite-differences pricing engine for BSM one asset options.

Detailed Description

Finite-differences vanilla-option engine.

Author

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