QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | List of all members
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)
 
- Public Member Functions inherited from FDVanillaEngine
 FDVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false)
 
const Arraygrid () const
 

Additional Inherited Members

- Protected Types inherited from FDVanillaEngine
typedef BoundaryCondition< TridiagonalOperatorbc_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< GeneralizedBlackScholesProcessprocess_
 
Size timeSteps_
 
Size gridPoints_
 
bool timeDependent_
 
Date exerciseDate_
 
boost::shared_ptr< Payoffpayoff_
 
TridiagonalOperator finiteDifferenceOperator_
 
SampledCurve intrinsicValues_
 
std::vector< boost::shared_ptr< bc_type > > BCs_
 
Real sMin_
 
Real center_
 
Real sMax_
 

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:
EquityOption.cpp.