ql/PricingEngines/Vanilla/fdshoutengine.hpp File Reference
Detailed Description
Finite-differences shout engine.
#include <ql/PricingEngines/Vanilla/fdstepconditionengine.hpp>
#include <ql/PricingEngines/Vanilla/fdconditions.hpp>
#include <ql/Instruments/vanillaoption.hpp>
Include dependency graph for fdshoutengine.hpp:

Namespaces | |
namespace | QuantLib |
Typedefs | |
typedef FDEngineAdapter< FDShoutCondition< FDStepConditionEngine >, VanillaOption::engine > | FDShoutEngine |
Finite-differences pricing engine for shout vanilla options. |