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QuantLib_FDBermudanEngine
Langue: en
Version: 150896 (fedora - 04/07/09)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::FDBermudanEngine - Finite-differences Bermudan engine.SYNOPSIS
#include <ql/pricingengines/vanilla/fdbermudanengine.hpp>
Inherits VanillaOption::engine, and QuantLib::FDMultiPeriodEngine.
Public Member Functions
FDBermudanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)
void calculate () const
Protected Member Functions
void initializeStepCondition () const
void executeIntermediateStep (Size) const
Protected Attributes
Real extraTermInBermudan
Detailed Description
Finite-differences Bermudan engine.
Examples:
EquityOption.cpp.
Author
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