ql/pricingengines/vanilla/fdamericanengine.hpp File Reference
Finite-differences American option engine. More...
#include <ql/instruments/oneassetoption.hpp>
#include <ql/pricingengines/vanilla/fdstepconditionengine.hpp>
#include <ql/pricingengines/vanilla/fdconditions.hpp>
#include <ql/methods/finitedifferences/fdtypedefs.hpp>
Include dependency graph for fdamericanengine.hpp:

Typedefs | |
typedef FDEngineAdapter < FDAmericanCondition < FDStepConditionEngine > , OneAssetOption::engine > | FDAmericanEngine |
Finite-differences pricing engine for American one asset options. |
Detailed Description
Finite-differences American option engine.