FDStepConditionEngine Class Reference
[Vanilla option engines]
#include <ql/pricingengines/vanilla/fdstepconditionengine.hpp>
Detailed Description
Finite-differences pricing engine for American-style vanilla options.
Public Member Functions | |
FDStepConditionEngine (Size timeSteps, Size gridPoints, bool timeDependent=false) | |
Protected Member Functions | |
virtual void | initializeStepCondition () const=0 |
virtual void | calculate (PricingEngine::results *) const |
Protected Attributes | |
boost::shared_ptr< StandardStepCondition > | stepCondition_ |
SampledCurve | prices_ |
TridiagonalOperator | controlOperator_ |
std::vector< boost::shared_ptr< bc_type > > | controlBCs_ |
SampledCurve | controlPrices_ |