QuantLib_FDStepConditionEngine man page

FDStepConditionEngine< Scheme > — Finite-differences pricing engine for American-style vanilla options.

Synopsis

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

Inherits FDVanillaEngine.

Inherited by FDAmericanCondition< FDStepConditionEngine< Scheme > >, and FDShoutCondition< FDStepConditionEngine< Scheme > >.

Public Member Functions

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

Protected Member Functions

virtual void initializeStepCondition () const =0

virtual void calculate (PricingEngine::results *) const

Protected Attributes

boost::shared_ptr< StandardStepCondition > stepCondition_

SampledCurve prices_

TridiagonalOperator controlOperator_

std::vector< boost::shared_ptr< bc_type > > controlBCs_

SampledCurve controlPrices_

Additional Inherited Members

Detailed Description

template<template< class > class Scheme = CrankNicolson>

class QuantLib::FDStepConditionEngine< Scheme >" Finite-differences pricing engine for American-style vanilla options.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

controlBCs_(3), controlOperator_(3), controlPrices_(3), FDStepConditionEngine(3), prices_(3) and stepCondition_(3) are aliases of QuantLib_FDStepConditionEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib