QuantLib_FDVanillaEngine man page

FDVanillaEngine — Finite-differences pricing engine for BSM one asset options.  

Synopsis

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

Inherited by FDEuropeanEngine< Scheme >, FDMultiPeriodEngine< Scheme >, and FDStepConditionEngine< Scheme >.

Public Member Functions

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

Protected Types

typedef BoundaryCondition< TridiagonalOperator > bc_type

Protected Member Functions

virtual void setupArguments (const PricingEngine::arguments *) const
virtual void setGridLimits () const
virtual void setGridLimits (Real, Time) const
virtual void initializeInitialCondition () const
virtual void initializeBoundaryConditions () const
virtual void initializeOperator () const
virtual Time getResidualTime () const
void ensureStrikeInGrid () const

Protected Attributes

boost::shared_ptr< GeneralizedBlackScholesProcess > process_
Size timeSteps_
Size gridPoints_
bool timeDependent_
Date exerciseDate_
boost::shared_ptr< Payoff > payoff_
TridiagonalOperator finiteDifferenceOperator_
SampledCurve intrinsicValues_
std::vector< boost::shared_ptr< bc_type > > BCs_
Real sMin_
Real center_
Real sMax_

Detailed Description

Finite-differences pricing engine for BSM one asset options.

The name is a misnomer as this is a base class for any finite difference scheme. Its main job is to handle grid layout.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages BCs_(3), center_(3), ensureStrikeInGrid(3), exerciseDate_(3), FDVanillaEngine(3), finiteDifferenceOperator_(3), getResidualTime(3), grid(3), gridPoints_(3), initializeBoundaryConditions(3), initializeInitialCondition(3), initializeOperator(3), intrinsicValues_(3), payoff_(3), process_(3), sMax_(3), sMin_(3), timeDependent_(3) and timeSteps_(3) are aliases of QuantLib_FDVanillaEngine(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib