Pricing engine for European options using finite-differences. More...
#include <ql/pricingengines/vanilla/fdeuropeanengine.hpp>
 Inheritance diagram for FDEuropeanEngine< Scheme >:
 Inheritance diagram for FDEuropeanEngine< Scheme >:| Public Member Functions | |
| FDEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) | |
|  Public Member Functions inherited from FDVanillaEngine | |
| FDVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) | |
| const Array & | grid () const | 
| Additional Inherited Members | |
|  Protected Types inherited from FDVanillaEngine | |
| typedef BoundaryCondition< TridiagonalOperator > | bc_type | 
|  Protected Member Functions inherited from FDVanillaEngine | |
| 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 inherited from FDVanillaEngine | |
| 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_ | 
Pricing engine for European options using finite-differences.