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fdvanillaengine.hpp
Langue: en
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
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