FDEuropeanEngine Class Reference
[Vanilla option engines]
#include <ql/pricingengines/vanilla/fdeuropeanengine.hpp>
Detailed Description
Pricing engine for European options using finite-differences.
- Tests:
- the correctness of the returned value is tested by checking it against analytic results.
- Examples:
Public Member Functions | |
FDEuropeanEngine (Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) |