FDStepConditionEngine Class Template Reference
[Vanilla option engines]
Finite-differences pricing engine for American-style vanilla options.
More...
#include <ql/pricingengines/vanilla/fdstepconditionengine.hpp>
Inheritance diagram for FDStepConditionEngine:

Public Member Functions | |
| FDStepConditionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) | |
Protected Member Functions | |
| virtual void | initializeStepCondition () const =0 |
| virtual void | calculate (PricingEngine::results *) const |
Protected Attributes | |
|
boost::shared_ptr < StandardStepCondition > | stepCondition_ |
| SampledCurve | prices_ |
| TridiagonalOperator | controlOperator_ |
|
std::vector< boost::shared_ptr < bc_type > > | controlBCs_ |
| SampledCurve | controlPrices_ |
Detailed Description
template<template< class > class Scheme = CrankNicolson>
class QuantLib::FDStepConditionEngine< Scheme >
Finite-differences pricing engine for American-style vanilla options.