ql/PricingEngines/Vanilla/fdstepconditionengine.hpp File Reference
Detailed Description
Finite-differences step-condition engine.
#include <ql/PricingEngines/Vanilla/fdvanillaengine.hpp>
#include <ql/FiniteDifferences/fdtypedefs.hpp>
#include <ql/FiniteDifferences/boundarycondition.hpp>
Include dependency graph for fdstepconditionengine.hpp:

Namespaces | |
namespace | QuantLib |
Classes | |
class | FDStepConditionEngine |
Finite-differences pricing engine for American-style vanilla options. More... |