FDBermudanEngine Class Reference
[Vanilla option engines]

Finite-differences Bermudan engine. More...

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

Inherits VanillaOption::engine, and QuantLib::FDMultiPeriodEngine.

List of all members.

Public Member Functions

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

Protected Member Functions

void initializeStepCondition () const
void executeIntermediateStep (Size) const

Protected Attributes

Real extraTermInBermudan


Detailed Description

Finite-differences Bermudan engine.

Examples:

EquityOption.cpp.