FdMultiPeriodOption Class Reference

#include <ql/Pricers/fdmultiperiodoption.hpp>

Inheritance diagram for FdMultiPeriodOption:

Inheritance graph
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List of all members.

Detailed Description

Deprecated:
derive engines from FDMultiPeriodEngine instead


Public Member Functions

Real controlVariateCorrection () const

Protected Member Functions

 FdMultiPeriodOption (Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility, Size gridPoints, const std::vector< Time > &dates, Size timeSteps)
void calculate () const
virtual void initializeControlVariate () const
virtual void initializeModel () const
virtual void initializeStepCondition () const
virtual void executeIntermediateStep (Size step) const =0

Protected Attributes

std::vector< Timedates_
Size dateNumber_
Size timeStepPerPeriod_
bool lastDateIsResTime_
Integer lastIndex_
bool firstDateIsZero_
Time firstNonZeroDate_
Integer firstIndex_
boost::shared_ptr< BlackFormulaanalytic_
Array prices_
Array controlPrices_
boost::shared_ptr< StandardStepConditionstepCondition_
boost::shared_ptr< StandardFiniteDifferenceModelmodel_


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