FDBermudanEngine Class Reference
[Vanilla option engines]

#include <ql/pricingengines/vanilla/fdbermudanengine.hpp>

Inheritance diagram for FDBermudanEngine:

Inheritance graph
[legend]
List of all members.

Detailed Description

Finite-differences Bermudan engine.

Examples:

EquityOption.cpp.


Public Member Functions

 FDBermudanEngine (Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)
void calculate () const

Protected Member Functions

void initializeStepCondition () const
void executeIntermediateStep (Size) const

Protected Attributes

Real extraTermInBermudan