Finite-differences pricing engine for BSM one asset options. More...
#include <ql/pricingengines/vanilla/fdvanillaengine.hpp>
 Inheritance diagram for FDVanillaEngine:
 Inheritance diagram for FDVanillaEngine:| Public Member Functions | |
| FDVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) | |
| const Array & | grid () const | 
| Protected Types | |
| typedef BoundaryCondition< TridiagonalOperator > | bc_type | 
| Protected Member Functions | |
| virtual void | setupArguments (const PricingEngine::arguments *) const | 
| virtual void | setGridLimits () const | 
| virtual void | setGridLimits (Real, Time) const | 
| virtual void | initializeInitialCondition () const | 
| virtual void | initializeBoundaryConditions () const | 
| virtual void | initializeOperator () const | 
| virtual Time | getResidualTime () const | 
| void | ensureStrikeInGrid () const | 
| Protected Attributes | |
| boost::shared_ptr< GeneralizedBlackScholesProcess > | process_ | 
| Size | timeSteps_ | 
| Size | gridPoints_ | 
| bool | timeDependent_ | 
| Date | exerciseDate_ | 
| boost::shared_ptr< Payoff > | payoff_ | 
| TridiagonalOperator | finiteDifferenceOperator_ | 
| SampledCurve | intrinsicValues_ | 
| std::vector< boost::shared_ptr< bc_type > > | BCs_ | 
| Real | sMin_ | 
| Real | center_ | 
| Real | sMax_ | 
Finite-differences pricing engine for BSM one asset options.
The name is a misnomer as this is a base class for any finite difference scheme. Its main job is to handle grid layout.