FDBermudanEngine (3) - Linux Manuals

FDBermudanEngine: Finite-differences Bermudan engine.

NAME

QuantLib::FDBermudanEngine - Finite-differences Bermudan engine.

SYNOPSIS

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

Inherits VanillaOption::engine, and QuantLib::FDMultiPeriodEngine.

Public Member Functions

FDBermudanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)

void calculate () const

Protected Member Functions

void initializeStepCondition () const

void executeIntermediateStep (Size) const

Protected Attributes

Real extraTermInBermudan

Detailed Description

Finite-differences Bermudan engine.

Examples:

EquityOption.cpp.

Author

Generated automatically by Doxygen for QuantLib from the source code.