fdvanillaengine.hpp

Langue: en

Autres versions - même langue

Version: 378541 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

NAME

ql/pricingengines/vanilla/fdvanillaengine.hpp -

Finite-differences vanilla-option engine.

SYNOPSIS


#include <ql/pricingengine.hpp>
#include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
#include <ql/methods/finitedifferences/boundarycondition.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/sampledcurve.hpp>
#include <ql/payoff.hpp>

Classes


class FDVanillaEngine
Finite-differences pricing engine for BSM one asset options.

Detailed Description

Finite-differences vanilla-option engine.

Author

Generated automatically by Doxygen for QuantLib from the source code.