fdshoutengine.hpp

Langue: en

Autres versions - même langue

Version: 168604 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/vanilla/fdshoutengine.hpp - Finite-differences shout engine.

SYNOPSIS


#include <ql/pricingengines/vanilla/fdstepconditionengine.hpp>
#include <ql/pricingengines/vanilla/fdconditions.hpp>
#include <ql/instruments/vanillaoption.hpp>

Typedefs


typedef FDEngineAdapter< FDShoutCondition< FDStepConditionEngine >, VanillaOption::engine > FDShoutEngine
Finite-differences pricing engine for shout vanilla options.

Detailed Description

Finite-differences shout engine.

Author

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