QuantLib_FDAmericanEngine man page

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.

Referenced By

FDAmericanEngine(3) is an alias of QuantLib_FDAmericanEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib