FDAmericanEngine< Scheme > Class Template Reference

Finite-differences pricing engine for American one asset options. More...

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

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

List of all members.

Public Member Functions

 FDAmericanEngine (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::FDAmericanEngine< Scheme >

Finite-differences pricing engine for American one asset options.

Tests:
  • the correctness of the returned value is tested by reproducing results available in literature.
  • the correctness of the returned greeks is tested by reproducing numerical derivatives.
Examples:

EquityOption.cpp.