FDEuropeanEngine< Scheme > Class Template Reference
Pricing engine for European options using finite-differences. More...
#include <ql/pricingengines/vanilla/fdeuropeanengine.hpp>
Inheritance diagram for FDEuropeanEngine< Scheme >:

Public Member Functions | |
FDEuropeanEngine (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::FDEuropeanEngine< Scheme >
Pricing engine for European options using finite-differences.
- Tests:
- the correctness of the returned value is tested by checking it against analytic results.
- Examples: