FDShoutEngine Class Template Reference
[Vanilla option engines]

Finite-differences pricing engine for shout vanilla options. More...

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

Inherits QuantLib::FDEngineAdapter< QuantLib::FDShoutCondition< QuantLib::FDStepConditionEngine< Scheme > >, QuantLib::OneAssetOption::engine >.

List of all members.

Public Member Functions

 FDShoutEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)


Detailed Description

template<template< class > class Scheme = CrankNicolson>
class QuantLib::FDShoutEngine< Scheme >

Finite-differences pricing engine for shout vanilla options.

Tests:
the correctness of the returned greeks is tested by reproducing numerical derivatives.