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QuantLib_FDStepConditionEngine
Langue: en
Version: 379485 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::FDStepConditionEngine -Finite-differences pricing engine for American-style vanilla options.
SYNOPSIS
#include <ql/pricingengines/vanilla/fdstepconditionengine.hpp>
Inherits QuantLib::FDVanillaEngine.
Inherited by FDAmericanCondition< FDStepConditionEngine< Scheme > >, and FDShoutCondition< FDStepConditionEngine< Scheme > >.
Public Member Functions
FDStepConditionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false)
Protected Member Functions
virtual void initializeStepCondition () const =0
virtual void calculate (PricingEngine::results *) const
Protected Attributes
boost::shared_ptr< StandardStepCondition > stepCondition_
SampledCurve prices_
TridiagonalOperator controlOperator_
std::vector< boost::shared_ptr< bc_type > > controlBCs_
SampledCurve controlPrices_
Detailed Description
template<template< class > class Scheme = CrankNicolson> class QuantLib::FDStepConditionEngine< Scheme >
Finite-differences pricing engine for American-style vanilla options.Author
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