Finite-differences Bermudan engine. More...
#include <ql/pricingengines/vanilla/fdbermudanengine.hpp>
Inherits engine, and FDMultiPeriodEngine< Scheme >.
Public Member Functions | |
FDBermudanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) | |
void | calculate () const |
Protected Member Functions | |
void | initializeStepCondition () const |
void | executeIntermediateStep (Size) const |
Protected Attributes | |
Real | extraTermInBermudan |
Finite-differences Bermudan engine.