ql/PricingEngines/Vanilla/fdamericanengine.hpp File Reference


Detailed Description

Finite-differences American option engine.

#include <ql/Instruments/oneassetoption.hpp>
#include <ql/PricingEngines/Vanilla/fdstepconditionengine.hpp>
#include <ql/PricingEngines/Vanilla/fdconditions.hpp>
#include <ql/FiniteDifferences/fdtypedefs.hpp>

Include dependency graph for fdamericanengine.hpp:


Namespaces

namespace  QuantLib

Typedefs

typedef FDEngineAdapter< FDAmericanCondition<
FDStepConditionEngine >,
OneAssetOption::engine > 
QuantLib::FDAmericanEngine
 Finite-differences pricing engine for American one asset options.