#include <ql/PricingEngines/Vanilla/fdstepconditionengine.hpp>
Inheritance diagram for FDStepConditionEngine:
[legend]List of all members.
Detailed Description
Finite-differences pricing engine for American-style vanilla options.
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Public Member Functions |
| FDStepConditionEngine (Size timeSteps, Size gridPoints, bool timeDependent=false) |
Protected Member Functions |
virtual void | initializeStepCondition () const =0 |
void | calculate (OneAssetOption::results *result) const |
Protected Attributes |
boost::shared_ptr< StandardStepCondition > | stepCondition_ |
Array | prices_ |
TridiagonalOperator | controlOperator_ |
std::vector< boost::shared_ptr<
bc_type > > | controlBCs_ |
Array | controlPrices_ |
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