QuantLib_FDBermudanEngine

Langue: en

Autres versions - même langue

Version: 373037 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::FDBermudanEngine -

Finite-differences Bermudan engine.

SYNOPSIS


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

Inherits VanillaOption::engine, and QuantLib::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

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