fdstepconditionengine.hpp

Langue: en

Autres versions - même langue

Version: 380177 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/vanilla/fdstepconditionengine.hpp -

Finite-differences step-condition engine.

SYNOPSIS


#include <ql/pricingengines/vanilla/fdvanillaengine.hpp>
#include <ql/instruments/oneassetoption.hpp>
#include <ql/methods/finitedifferences/fdtypedefs.hpp>
#include <ql/methods/finitedifferences/boundarycondition.hpp>
#include <ql/pricingengines/blackcalculator.hpp>

Classes


class FDStepConditionEngine< Scheme >
Finite-differences pricing engine for American-style vanilla options.

Detailed Description

Finite-differences step-condition engine.

Author

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