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 >.
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: