QuantLib_FDShoutEngine

Langue: en

Version: 380263 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::FDShoutEngine -

Finite-differences pricing engine for shout vanilla options.

SYNOPSIS


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

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

Public Member Functions


FDShoutEngine (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::FDShoutEngine< Scheme >

Finite-differences pricing engine for shout vanilla options.

Tests

the correctness of the returned greeks is tested by reproducing numerical derivatives.

Author

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