ql/pricingengines/vanilla/fdstepconditionengine.hpp File Reference


Detailed Description

Finite-differences step-condition engine.

#include <ql/pricingengines/vanilla/fdvanillaengine.hpp>
#include <ql/methods/finitedifferences/fdtypedefs.hpp>
#include <ql/methods/finitedifferences/boundarycondition.hpp>

Include dependency graph for fdstepconditionengine.hpp:


Namespaces

namespace  QuantLib

Classes

class  FDStepConditionEngine
 Finite-differences pricing engine for American-style vanilla options. More...