QuantLib_FDDividendEuropeanEngine man page

FDDividendEuropeanEngine< Scheme > — Finite-differences pricing engine for dividend European options.

Synopsis

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

Inherits FDEngineAdapter< base, engine >.

Public Member Functions

FDDividendEuropeanEngine (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::FDDividendEuropeanEngine< Scheme >" Finite-differences pricing engine for dividend European 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

FDDividendEuropeanEngine(3) is an alias of QuantLib_FDDividendEuropeanEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib