QuantLib_FDDividendAmericanEngine

Langue: en

Version: 377400 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::FDDividendAmericanEngine -

Finite-differences pricing engine for dividend American options.

SYNOPSIS


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

Inherits QuantLib::FDEngineAdapter< FDAmericanCondition< FDDividendEngine< Scheme > >, DividendVanillaOption::engine >.

Public Member Functions


FDDividendAmericanEngine (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::FDDividendAmericanEngine< Scheme >

Finite-differences pricing engine for dividend American options.

Tests

*
the correctness of the returned greeks is tested by reproducing numerical derivatives.
*
the invariance of the results upon addition of null dividends is tested.

Author

Generated automatically by Doxygen for QuantLib from the source code.