QuantLib_FDBermudanEngine man page

FDBermudanEngine< Scheme > — Finite-differences Bermudan engine.  


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

Inherits engine, and FDMultiPeriodEngine< Scheme >.

Public Member Functions

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

Protected Member Functions

void initializeStepCondition () const
void executeIntermediateStep (Size) const

Protected Attributes

Real extraTermInBermudan

Detailed Description

template<template< class > class Scheme = CrankNicolson>

class QuantLib::FDBermudanEngine< Scheme >" Finite-differences Bermudan engine.

Examples: EquityOption.cpp.


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Referenced By

The man pages executeIntermediateStep(3), extraTermInBermudan(3), FDBermudanEngine(3) and initializeStepCondition(3) are aliases of QuantLib_FDBermudanEngine(3).

Wed Feb 7 2018 Version 1.10.1 QuantLib