FDEuropeanEngine (3) - Linux Manuals
FDEuropeanEngine: Pricing engine for European options using finite-differences.
NAME
QuantLib::FDEuropeanEngine - Pricing engine for European options using finite-differences.
SYNOPSIS
#include <ql/pricingengines/vanilla/fdeuropeanengine.hpp>
Inherits QuantLib::OneAssetOption::engine, and QuantLib::FDVanillaEngine.
Public Member Functions
FDEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)
Detailed Description
Pricing engine for European options using finite-differences.
Tests
- the correctness of the returned value is tested by checking it against analytic results.
Examples:
EquityOption.cpp.
Author
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