FDAmericanEngine Class Reference
[Vanilla option engines]

#include <ql/PricingEngines/Vanilla/fdamericanengine.hpp>

Inheritance diagram for FDAmericanEngine:

Inheritance graph
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List of all members.

Detailed Description

Finite-differences pricing engine for American vanilla options.

Tests:
  • the correctness of the returned value is tested by reproducing results available in literature.
  • the correctness of the returned greeks is tested by reproducing numerical derivatives.


Public Member Functions

 FDAmericanEngine (Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)


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