QuantLib_FDDividendEngineShiftScale

Langue: en

Autres versions - même langue

Version: 377228 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::FDDividendEngineShiftScale -

Finite-differences engine for dividend options using shifted dividends.

SYNOPSIS


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

Inherits QuantLib::FDDividendEngineBase< Scheme >.

Inherited by FDAmericanCondition< FDDividendEngineShiftScale< Scheme > >, FDEngineAdapter< FDDividendEngineShiftScale< Scheme >, DividendVanillaOption::engine >, and FDShoutCondition< FDDividendEngineShiftScale< Scheme > >.

Public Member Functions


FDDividendEngineShiftScale (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::FDDividendEngineShiftScale< Scheme >

Finite-differences engine for dividend options using shifted dividends.

This engine uses the same algorithm that was used in versions 0.3.11 and earlier. It produces results that are different from the Merton-73 engine.

Possible enhancements

Review literature to see whether this is described

Author

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