FdBlackScholesAsianEngine Class Reference
[Vanilla option engines]

Finite-Differences Black Scholes arithmetic asian option engine. More...

#include <ql/experimental/finitedifferences/fdblackscholesasianengine.hpp>

Inheritance diagram for FdBlackScholesAsianEngine:

List of all members.

Public Member Functions

 FdBlackScholesAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Size tGrid=100, Size xGrid=100, Size aGrid=50, Real theta=0.5)
void calculate () const


Detailed Description

Finite-Differences Black Scholes arithmetic asian option engine.