FDStepConditionEngine Class Reference
[Vanilla option engines]

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

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

Inheritance diagram for FDStepConditionEngine:

List of all members.

Public Member Functions

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

Protected Member Functions

virtual void initializeStepCondition () const =0
virtual void calculate (PricingEngine::results *) const

Protected Attributes

boost::shared_ptr
< StandardStepCondition
stepCondition_
SampledCurve prices_
TridiagonalOperator controlOperator_
std::vector< boost::shared_ptr
< bc_type > > 
controlBCs_
SampledCurve controlPrices_


Detailed Description

Finite-differences pricing engine for American-style vanilla options.