QuantLib_FDEuropeanEngine

Langue: en

Autres versions - même langue

Version: 383622 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::FDEuropeanEngine -

Pricing engine for European options using finite-differences.

SYNOPSIS


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

Inherits QuantLib::OneAssetOption::engine, and QuantLib::FDVanillaEngine.

Public Member Functions


FDEuropeanEngine (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::FDEuropeanEngine< Scheme >

Pricing engine for European options using finite-differences.

Tests

the correctness of the returned value is tested by checking it against analytic results.

Examples:

EquityOption.cpp.

Author

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