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. |