Last Change: 2018-09-07, 16:50
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FDAmericanEngine< Scheme > − Finite-differences pricing engine for American one asset options.
#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)
template<template< class > class Scheme = CrankNicolson>
class QuantLib::FDAmericanEngine< Scheme >" Finite-differences pricing engine for American one asset options.
Tests
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the correctness of the returned value is tested by reproducing results available in literature. |
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the correctness of the returned greeks is tested by reproducing numerical derivatives. |
Examples:
EquityOption.cpp.
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