FDStepConditionEngine Class Reference
[Vanilla option engines]

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

List of all members.


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< StandardStepConditionstepCondition_
SampledCurve prices_
TridiagonalOperator controlOperator_
std::vector< boost::shared_ptr<
bc_type > > 
controlBCs_
SampledCurve controlPrices_