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fdstepconditionengine.hpp
Langue: en
Version: 380177 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/pricingengines/vanilla/fdstepconditionengine.hpp -Finite-differences step-condition engine.
SYNOPSIS
#include <ql/pricingengines/vanilla/fdvanillaengine.hpp>
#include <ql/instruments/oneassetoption.hpp>
#include <ql/methods/finitedifferences/fdtypedefs.hpp>
#include <ql/methods/finitedifferences/boundarycondition.hpp>
#include <ql/pricingengines/blackcalculator.hpp>
Classes
class FDStepConditionEngine< Scheme >
Finite-differences pricing engine for American-style vanilla options.
Detailed Description
Finite-differences step-condition engine.
Author
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