FDBermudanEngine Class Reference
[Vanilla option engines]
#include <ql/PricingEngines/Vanilla/fdbermudanengine.hpp>
Inheritance diagram for FDBermudanEngine:

Detailed Description
Finite-differences Bermudan engine.- Examples:
Public Member Functions | |
FDBermudanEngine (Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) | |
void | calculate () const |
Protected Member Functions | |
void | initializeStepCondition () const |
void | executeIntermediateStep (Size) const |
Protected Attributes | |
Real | extraTermInBermudan |