QuantLib_FDShoutEngine man page

FDShoutEngine< Scheme > — Finite-differences pricing engine for shout vanilla options.

Synopsis

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

Inherits FDEngineAdapter< base, engine >.

Public Member Functions

FDShoutEngine (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::FDShoutEngine< Scheme >" Finite-differences pricing engine for shout vanilla options.

Tests

the correctness of the returned greeks is tested by reproducing numerical derivatives.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

FDShoutEngine(3) is an alias of QuantLib_FDShoutEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib