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QuantLib_FDDividendEuropeanEngine
Langue: en
Version: 372997 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::FDDividendEuropeanEngine -Finite-differences pricing engine for dividend European options.
SYNOPSIS
#include <ql/pricingengines/vanilla/fddividendeuropeanengine.hpp>
Inherits QuantLib::FDEngineAdapter< FDDividendEngine< Scheme >, DividendVanillaOption::engine >.
Public Member Functions
FDDividendEuropeanEngine (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::FDDividendEuropeanEngine< Scheme >
Finite-differences pricing engine for dividend European options.Tests
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- *
- the correctness of the returned greeks is tested by reproducing numerical derivatives.
- *
- the invariance of the results upon addition of null dividends is tested.
Author
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