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... | |
Namespaces | |
QuantLib | |
Finite-differences American option engine.