QuantLib_FDEuropeanEngine (3) Linux Manual Page
QuantLib::FDEuropeanEngine – Pricing engine for European options using finite-differences.
Synopsis
#include <ql/pricingengines/vanilla/fdeuropeanengine.hpp>Inherits QuantLib::OneAssetOption::engine, and QuantLib::FDVanillaEngine.
Public Member Functions
FDEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)Detailed Description
Pricing engine for European options using finite-differences. Tests
- the correctness of the returned value is tested by checking it against analytic results.
Examples:
EquityOption.cpp.