Pricing engine for European options using finite-differences. More...
#include <ql/pricingengines/vanilla/fdeuropeanengine.hpp>
Inheritance diagram for FDEuropeanEngine< Scheme >:Public Member Functions | |
| FDEuropeanEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) | |
Public Member Functions inherited from FDVanillaEngine | |
| FDVanillaEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) | |
| const Array & | grid () const |
Additional Inherited Members | |
Protected Types inherited from FDVanillaEngine | |
| typedef BoundaryCondition< TridiagonalOperator > | bc_type |
Protected Member Functions inherited from FDVanillaEngine | |
| 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 inherited from FDVanillaEngine | |
| ext::shared_ptr< GeneralizedBlackScholesProcess > | process_ |
| Size | timeSteps_ |
| Size | gridPoints_ |
| bool | timeDependent_ |
| Date | exerciseDate_ |
| ext::shared_ptr< Payoff > | payoff_ |
| TridiagonalOperator | finiteDifferenceOperator_ |
| SampledCurve | intrinsicValues_ |
| std::vector< ext::shared_ptr< bc_type > > | BCs_ |
| Real | sMin_ |
| Real | center_ |
| Real | sMax_ |
Pricing engine for European options using finite-differences.