FDEuropeanEngine Class Reference
[Vanilla option engines]

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

Inheritance diagram for FDEuropeanEngine:

Inheritance graph
[legend]
List of all members.

Detailed Description

Pricing engine for European options using finite-differences.

Tests:
the correctness of the returned value is tested by checking it against analytic results.
Examples:

EuropeanOption.cpp.


Public Member Functions

 FDEuropeanEngine (Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)


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