QuantLib_FDEuropeanEngine (3) - Linux Manuals

QuantLib_FDEuropeanEngine: Pricing engine for European options using finite-differences.

Command to display QuantLib_FDEuropeanEngine manual in Linux: $ man 3 QuantLib_FDEuropeanEngine

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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