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FDStepConditionEngine< Scheme >

NAME

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

SYNOPSIS

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

Inherits FDVanillaEngine.

Inherited by FDAmericanCondition< FDStepConditionEngine< Scheme > >, and FDShoutCondition< FDStepConditionEngine< Scheme > >.

Public Member Functions

FDStepConditionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false)

Protected Member Functions

virtual void initializeStepCondition () const =0
virtual void calculate (PricingEngine::results *) const

Protected Attributes

boost::shared_ptr< StandardStepCondition > stepCondition_
SampledCurve prices_
TridiagonalOperator controlOperator_

std::vector< boost::shared_ptr< bc_type > > controlBCs_
SampledCurve controlPrices_

Additional Inherited Members

Detailed Description

template<template< class > class Scheme = CrankNicolson>
class QuantLib::FDStepConditionEngine< Scheme >" Finite-differences pricing engine for American-style vanilla options.

Author

Generated automatically by Doxygen for QuantLib from the source code.

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