QuantLib_FDEuropeanEngine man page

FDEuropeanEngine< Scheme > — Pricing engine for European options using finite-differences.

Synopsis

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

Inherits OneAssetOption::engine, and FDVanillaEngine.

Public Member Functions

FDEuropeanEngine (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::FDEuropeanEngine< Scheme >" Pricing engine for European options using finite-differences.

Tests

the correctness of the returned value is tested by checking it against analytic results.

Examples: EquityOption.cpp.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

FDEuropeanEngine(3) is an alias of QuantLib_FDEuropeanEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib