FDStepConditionEngine Class Reference
[Vanilla option engines]
#include <ql/PricingEngines/Vanilla/fdstepconditionengine.hpp>
Detailed Description
Finite-differences pricing engine for American-style vanilla options.
Public Member Functions | |
| FDStepConditionEngine (Size timeSteps, Size gridPoints, bool timeDependent=false) | |
Protected Member Functions | |
| virtual void | initializeStepCondition () const=0 |
| virtual void | calculate (Results *result) const |
Protected Attributes | |
| boost::shared_ptr< StandardStepCondition > | stepCondition_ |
| SampledCurve | prices_ |
| TridiagonalOperator | controlOperator_ |
|
std::vector< boost::shared_ptr< bc_type > > | controlBCs_ |
| SampledCurve | controlPrices_ |