FDBermudanEngine Class Reference
[Vanilla option engines]
Finite-differences Bermudan engine.
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#include <ql/pricingengines/vanilla/fdbermudanengine.hpp>
Inherits VanillaOption::engine, and QuantLib::FDMultiPeriodEngine.
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: