QuantLib_FdBlackScholesAsianEngine

Langue: en

Version: 374675 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::FdBlackScholesAsianEngine -

Finite-Differences Black Scholes arithmetic asian option engine.

SYNOPSIS


#include <ql/experimental/finitedifferences/fdblackscholesasianengine.hpp>

Inherits GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results >.

Public Member Functions


FdBlackScholesAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Size tGrid=100, Size xGrid=100, Size aGrid=50, Real theta=0.5)

void calculate () const

Detailed Description

Finite-Differences Black Scholes arithmetic asian option engine.

Author

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