Finite-differences American option engine. More...
#include <ql/instruments/oneassetoption.hpp>#include <ql/pricingengines/vanilla/fdstepconditionengine.hpp>#include <ql/pricingengines/vanilla/fdconditions.hpp>#include <ql/methods/finitedifferences/fdtypedefs.hpp>
Classes | |
| class | FDAmericanEngine< Scheme > |
| Finite-differences pricing engine for American one asset options. More... | |
Finite-differences American option engine.