fdeuropeanengine.hpp

Langue: en

Autres versions - même langue

Version: 383147 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/vanilla/fdeuropeanengine.hpp -

Finite-difference European engine.

SYNOPSIS


#include <ql/instruments/oneassetoption.hpp>
#include <ql/pricingengines/vanilla/fdvanillaengine.hpp>
#include <ql/pricingengines/greeks.hpp>
#include <ql/methods/finitedifferences/cranknicolson.hpp>
#include <ql/math/sampledcurve.hpp>

Classes


class FDEuropeanEngine< Scheme >
Pricing engine for European options using finite-differences.

Detailed Description

Finite-difference European engine.

Author

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