BCs_ (3) - Linux Manuals
BCs_: Finite-differences pricing engine for BSM one asset options.
NAME
QuantLib::FDVanillaEngine - Finite-differences pricing engine for BSM one asset options.
SYNOPSIS
#include <ql/pricingengines/vanilla/fdvanillaengine.hpp>
Inherited by FDEuropeanEngine, FDMultiPeriodEngine, and FDStepConditionEngine.
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_
Real requiredGridValue_
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
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