fdbermudanengine.hpp

Langue: en

Autres versions - même langue

Version: 375958 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/vanilla/fdbermudanengine.hpp -

finite-difference Bermudan engine

SYNOPSIS


#include <ql/instruments/vanillaoption.hpp>
#include <ql/pricingengines/vanilla/fdmultiperiodengine.hpp>

Classes


class FDBermudanEngine< Scheme >
Finite-differences Bermudan engine.

Detailed Description

finite-difference Bermudan engine

Author

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