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fdamericanengine.hpp
Langue: en
Version: 162035 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/pricingengines/vanilla/fdamericanengine.hpp - Finite-differences American option engine.SYNOPSIS
#include <ql/instruments/oneassetoption.hpp>
#include <ql/pricingengines/vanilla/fdstepconditionengine.hpp>
#include <ql/pricingengines/vanilla/fdconditions.hpp>
#include <ql/methods/finitedifferences/fdtypedefs.hpp>
Typedefs
typedef FDEngineAdapter< FDAmericanCondition< FDStepConditionEngine >, OneAssetOption::engine > FDAmericanEngine
Finite-differences pricing engine for American one asset options.
Detailed Description
Finite-differences American option engine.
Author
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