FDEuropeanEngine Class Reference
[Vanilla option engines]

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

Inheritance diagram for FDEuropeanEngine:

List of all members.


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:

EquityOption.cpp.


Public Member Functions

 FDEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)