FDVanillaEngine Class Reference
[Vanilla option engines]

#include <ql/PricingEngines/Vanilla/fdvanillaengine.hpp>

Inheritance diagram for FDVanillaEngine:

Inheritance graph
[legend]
List of all members.

Detailed Description

Finite-differences pricing engine for BSM vanilla options.


Public Member Functions

 FDVanillaEngine (const VanillaOption::arguments *args, Size timeSteps, Size gridPoints, bool timeDependent=false)
const Arraygrid () const

Protected Types

typedef BoundaryCondition<
TridiagonalOperator
bc_type

Protected Member Functions

virtual void setGridLimits () const
virtual void setGridLimits (Real, Time) const
virtual void initializeGrid () const
virtual void initializeInitialCondition () const
virtual void initializeOperator () const
virtual Time getResidualTime () const
virtual Time getYearFraction (Date d) const
boost::shared_ptr< BlackScholesProcessgetProcess () const

Protected Attributes

Size timeSteps_
Size gridPoints_
bool timeDependent_
const VanillaOption::arguments * vanillaArguments_
Array grid_
TridiagonalOperator finiteDifferenceOperator_
Array intrinsicValues_
std::vector< boost::shared_ptr<
bc_type > > 
BCs_
Real sMin_
Real center_
Real sMax_


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