#include <ql/PricingEngines/Vanilla/fdamericanengine.hpp>
Inheritance diagram for FDAmericanEngine:
[legend]List of all members.
Detailed Description
Finite-differences pricing engine for American vanilla options.
- Tests:
- the correctness of the returned value is tested by reproducing results available in literature.
- the correctness of the returned greeks is tested by reproducing numerical derivatives.
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Public Member Functions |
| FDAmericanEngine (Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) |
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