Rechercher une page de manuel
QuantLib_FDEuropeanEngine
Langue: en
Version: 171927 (fedora - 06/07/09)
Section: 3 (Bibliothèques de fonctions)
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
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
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre