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QuantLib_FDDividendEngineShiftScale
Langue: en
Version: 377228 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::FDDividendEngineShiftScale -Finite-differences engine for dividend options using shifted dividends.
SYNOPSIS
#include <ql/pricingengines/vanilla/fddividendengine.hpp>
Inherits QuantLib::FDDividendEngineBase< Scheme >.
Inherited by FDAmericanCondition< FDDividendEngineShiftScale< Scheme > >, FDEngineAdapter< FDDividendEngineShiftScale< Scheme >, DividendVanillaOption::engine >, and FDShoutCondition< FDDividendEngineShiftScale< Scheme > >.
Public Member Functions
FDDividendEngineShiftScale (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::FDDividendEngineShiftScale< Scheme >
Finite-differences engine for dividend options using shifted dividends.This engine uses the same algorithm that was used in versions 0.3.11 and earlier. It produces results that are different from the Merton-73 engine.
Possible enhancements
- Review literature to see whether this is described
Author
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