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FDBermudanEngine< Scheme >

NAME

FDBermudanEngine< Scheme > − Finite-differences Bermudan engine.

SYNOPSIS

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

Inherits engine, and FDMultiPeriodEngine< Scheme >.

Public Member Functions

FDBermudanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)
void calculate () const

Protected Member Functions

void initializeStepCondition () const
void executeIntermediateStep (Size) const

Protected Attributes

Real extraTermInBermudan

Detailed Description

template<template< class > class Scheme = CrankNicolson>
class QuantLib::FDBermudanEngine< Scheme >" Finite-differences Bermudan engine.

Examples:

EquityOption.cpp.

Author

Generated automatically by Doxygen for QuantLib from the source code.

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