FdBlackScholesAsianEngine Class Reference
[Vanilla option engines]
Finite-Differences Black Scholes arithmetic asian option engine.
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#include <ql/experimental/finitedifferences/fdblackscholesasianengine.hpp>
Inheritance diagram for FdBlackScholesAsianEngine:

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 |