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


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

Inherited by FDEuropeanEngine< Scheme >, FDMultiPeriodEngine< Scheme >, and FDStepConditionEngine< Scheme >.

Public Member Functions

FDVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false)
const Array & grid () const

Protected Types

typedef BoundaryCondition< TridiagonalOperator > bc_type

Protected Member Functions

virtual void setupArguments (const PricingEngine::arguments *) const
virtual void setGridLimits () const
virtual void setGridLimits (Real, Time) const
virtual void initializeInitialCondition () const
virtual void initializeBoundaryConditions () const
virtual void initializeOperator () const
virtual Time getResidualTime () const
void ensureStrikeInGrid () const

Protected Attributes

boost::shared_ptr< GeneralizedBlackScholesProcess > process_
Size timeSteps_
Size gridPoints_

bool timeDependent_
Date exerciseDate_

boost::shared_ptr< Payoff > payoff_
TridiagonalOperator finiteDifferenceOperator_
SampledCurve intrinsicValues_

std::vector< boost::shared_ptr< bc_type > > BCs_
Real sMin_
Real center_
Real sMax_

Detailed Description

Finite-differences pricing engine for BSM one asset options.

The name is a misnomer as this is a base class for any finite difference scheme. Its main job is to handle grid layout.


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