#include <ql/PricingEngines/Vanilla/fddividendamericanengine.hpp>
Inheritance diagram for FDDividendAmericanEngine:
[legend]List of all members.
Detailed Description
Finite-differences pricing engine for dividend American options.
- Tests:
- the correctness of the returned greeks is tested by reproducing numerical derivatives.
- the invariance of the results upon addition of null dividends is tested.
- Bug:
- method impliedVolatility() utterly fails
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Public Member Functions |
| FDDividendAmericanEngine (Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) |
Protected Member Functions |
void | initializeStepCondition () const |
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