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.