QuantLib_FDDividendEngineShiftScale man page

FDDividendEngineShiftScale< Scheme > — Finite-differences engine for dividend options using shifted dividends.

Synopsis

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

Inherits FDDividendEngineBase< Scheme >.

Inherited by FDAmericanCondition< FDDividendEngineShiftScale< Scheme > >, FDEngineAdapter< FDDividendEngineShiftScale< Scheme >, DividendVanillaOption::engine >, and FDShoutCondition< FDDividendEngineShiftScale< Scheme > >.

Public Member Functions

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

Additional Inherited Members

Detailed Description

template<template< class > class Scheme = CrankNicolson>

class QuantLib::FDDividendEngineShiftScale< Scheme >" Finite-differences engine for dividend options using shifted dividends.

This engine uses the same algorithm that was used in versions 0.3.11 and earlier. It produces results that are different from the Merton-73 engine.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

FDDividendEngineShiftScale(3) is an alias of QuantLib_FDDividendEngineShiftScale(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib