ql/pricingengines/vanilla/fdshoutengine.hpp File Reference


Detailed Description

Finite-differences shout engine.

#include <ql/pricingengines/vanilla/fdstepconditionengine.hpp>
#include <ql/pricingengines/vanilla/fdconditions.hpp>
#include <ql/instruments/vanillaoption.hpp>

Include dependency graph for fdshoutengine.hpp:


Namespaces

namespace  QuantLib

Typedefs

typedef FDEngineAdapter< FDShoutCondition<
FDStepConditionEngine >,
VanillaOption::engine > 
FDShoutEngine
 Finite-differences pricing engine for shout vanilla options.