FDStepConditionEngine Class Reference
[Vanilla option engines]
Finite-differences pricing engine for American-style vanilla options.
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#include <ql/pricingengines/vanilla/fdstepconditionengine.hpp>
Inheritance diagram for FDStepConditionEngine:

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.