ql/pricingengines/vanilla/fdshoutengine.hpp File Reference

Finite-differences shout engine. More...

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

Include dependency graph for fdshoutengine.hpp:


Typedefs

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

Detailed Description

Finite-differences shout engine.