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QuantLib_FdBlackScholesAsianEngine
Langue: en
Version: 374675 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::FdBlackScholesAsianEngine -Finite-Differences Black Scholes arithmetic asian option engine.
SYNOPSIS
#include <ql/experimental/finitedifferences/fdblackscholesasianengine.hpp>
Inherits GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results >.
Public Member Functions
FdBlackScholesAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Size tGrid=100, Size xGrid=100, Size aGrid=50, Real theta=0.5)
void calculate () const
Detailed Description
Finite-Differences Black Scholes arithmetic asian option engine.
Author
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