Finite-differences engine for dividend options using shifted dividends. More...
#include <ql/pricingengines/vanilla/fddividendengine.hpp>
Public Member Functions | |
FDDividendEngineShiftScale (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) | |
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FDDividendEngineBase (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) | |
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FDVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) | |
const Array & | grid () const |
Additional Inherited Members | |
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typedef FiniteDifferenceModel < Scheme< TridiagonalOperator > > | model_type |
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typedef BoundaryCondition < TridiagonalOperator > | bc_type |
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virtual void | setupArguments (const PricingEngine::arguments *) const |
Real | getDividendAmount (Size i) const |
Real | getDiscountedDividend (Size i) const |
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FDMultiPeriodEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) | |
virtual void | setupArguments (const PricingEngine::arguments *args, const std::vector< boost::shared_ptr< Event > > &schedule) const |
virtual void | setupArguments (const PricingEngine::arguments *a) const |
virtual void | calculate (PricingEngine::results *) const |
virtual void | executeIntermediateStep (Size step) const =0 |
virtual void | initializeStepCondition () const |
virtual void | initializeModel () const |
Time | getDividendTime (Size i) const |
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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 |
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std::vector< boost::shared_ptr < Event > > | events_ |
std::vector< Time > | stoppingTimes_ |
Size | timeStepPerPeriod_ |
SampledCurve | prices_ |
boost::shared_ptr < StandardStepCondition > | stepCondition_ |
boost::shared_ptr< model_type > | model_ |
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boost::shared_ptr < GeneralizedBlackScholesProcess > | process_ |
Size | timeSteps_ |
Size | gridPoints_ |
bool | timeDependent_ |
Real | requiredGridValue_ |
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_ |
Finite-differences engine for dividend options using shifted dividends.
This engine uses the same algorithm that was used in versions 0.3.11 and earlier. It produces results that are different from the Merton-73 engine.