FDDividendAmericanEngine Class Reference
[Vanilla option engines]

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

Inheritance diagram for FDDividendAmericanEngine:

Inheritance graph
[legend]
List of all members.

Detailed Description

Finite-differences pricing engine for dividend American options.

Tests:
  • the correctness of the returned greeks is tested by reproducing numerical derivatives.
  • the invariance of the results upon addition of null dividends is tested.
Bug:
method impliedVolatility() utterly fails


Public Member Functions

 FDDividendAmericanEngine (Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)
void calculate () const

Protected Member Functions

void initializeStepCondition () const


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