#include <ql/PricingEngines/Vanilla/fdstepconditionengine.hpp>
Inheritance diagram for FDStepConditionEngine:
[legend]List of all members.
Detailed Description
Finite-differences pricing engine for American-style vanilla options.
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Public Member Functions |
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| FDStepConditionEngine (Size timeSteps, Size gridPoints, bool timeDependent=false) |
Protected Member Functions |
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virtual void | initializeStepCondition () const =0 |
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void | calculate () const |
Protected Attributes |
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boost::shared_ptr< StandardStepCondition > | stepCondition_ |
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Array | prices_ |
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TridiagonalOperator | controlOperator_ |
std::vector< boost::shared_ptr<
bc_type > > | controlBCs_ |
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Array | controlPrices_ |
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