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FDAmericanEngine< Scheme >

NAME

FDAmericanEngine< Scheme > − Finite-differences pricing engine for American one asset options.

SYNOPSIS

#include <ql/pricingengines/vanilla/fdamericanengine.hpp>

Inherits FDEngineAdapter< base, engine >.

Public Member Functions

FDAmericanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)

Detailed Description

template<template< class > class Scheme = CrankNicolson>
class QuantLib::FDAmericanEngine< Scheme >" Finite-differences pricing engine for American one asset options.

Tests

the correctness of the returned value is tested by reproducing results available in literature.

the correctness of the returned greeks is tested by reproducing numerical derivatives.

Examples:

EquityOption.cpp.

Author

Generated automatically by Doxygen for QuantLib from the source code.

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