#include <ql/PricingEngines/Vanilla/fdvanillaengine.hpp>
Inheritance diagram for FDVanillaEngine:
[legend]List of all members.
Detailed Description
Finite-differences pricing engine for BSM vanilla options.
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Public Member Functions |
| FDVanillaEngine (const VanillaOption::arguments *args, Size timeSteps, Size gridPoints, bool timeDependent=false) |
const Array & | grid () 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< BlackScholesProcess > | getProcess () 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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