QuantLib_FDDividendAmericanEngine man page

FDDividendAmericanEngine< Scheme > — Finite-differences pricing engine for dividend American options.

Synopsis

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

Inherits FDEngineAdapter< base, engine >.

Public Member Functions

FDDividendAmericanEngine (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::FDDividendAmericanEngine< Scheme >" Finite-differences pricing engine for dividend American options.

Tests

·
the correctness of the returned greeks is tested by reproducing numerical derivatives.
·
the invariance of the results upon addition of null dividends is tested.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

FDDividendAmericanEngine(3) is an alias of QuantLib_FDDividendAmericanEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib