Finite-differences step-condition engine. More...
#include <ql/pricingengines/vanilla/fdvanillaengine.hpp>#include <ql/instruments/oneassetoption.hpp>#include <ql/methods/finitedifferences/fdtypedefs.hpp>#include <ql/methods/finitedifferences/boundarycondition.hpp>#include <ql/pricingengines/blackcalculator.hpp>
Classes | |
| class | FDStepConditionEngine< Scheme > |
| Finite-differences pricing engine for American-style vanilla options. More... | |
Finite-differences step-condition engine.