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 one asset options.

The name is a misnomer as this is a base class for any finite difference scheme. It's main job is to handle grid layout.


Public Member Functions

 FDVanillaEngine (Size timeSteps, Size gridPoints, bool timeDependent=false)
const Arraygrid () const

Protected Types

typedef BoundaryCondition<
TridiagonalOperator
bc_type

Protected Member Functions

virtual void setupArguments (const OneAssetOption::arguments *args) const
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

Protected Attributes

Size timeSteps_
Size gridPoints_
bool timeDependent_
boost::shared_ptr< BlackScholesProcessprocess_
Real requiredGridValue_
Date exerciseDate_
Array grid_
boost::shared_ptr< Payoffpayoff_
TridiagonalOperator finiteDifferenceOperator_
Array intrinsicValues_
std::vector< boost::shared_ptr<
bc_type > > 
BCs_
Real sMin_
Real center_
Real sMax_


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