QuantLib_FDAmericanEngine

Langue: en

Version: 380580 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::FDAmericanEngine -

Finite-differences pricing engine for American one asset options.

SYNOPSIS


#include <ql/pricingengines/vanilla/fdamericanengine.hpp>

Inherits QuantLib::FDEngineAdapter< FDAmericanCondition< FDStepConditionEngine< Scheme > >, OneAssetOption::engine >.

Public Member Functions


FDAmericanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)

Detailed Description

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDAmericanEngine< Scheme >

Finite-differences pricing engine for American one asset options.

Tests

*
the correctness of the returned value is tested by reproducing results available in literature.
*
the correctness of the returned greeks is tested by reproducing numerical derivatives.

Examples:

EquityOption.cpp.

Author

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