FDEuropeanEngine< Scheme > Class Template Reference

Pricing engine for European options using finite-differences. More...

#include <ql/pricingengines/vanilla/fdeuropeanengine.hpp>

Inheritance diagram for FDEuropeanEngine< Scheme >:

Public Member Functions

 FDEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)
 
- Public Member Functions inherited from GenericEngine< OneAssetOption::arguments, OneAssetOption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from FDVanillaEngine
 FDVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false)
 
const Arraygrid () const
 

Additional Inherited Members

- Protected Types inherited from FDVanillaEngine
typedef BoundaryCondition
< TridiagonalOperator
bc_type
 
- Protected Member Functions inherited from FDVanillaEngine
virtual void setupArguments (const PricingEngine::arguments *) const
 
virtual void setGridLimits () const
 
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
 
- Protected Attributes inherited from GenericEngine< OneAssetOption::arguments, OneAssetOption::results >
OneAssetOption::arguments arguments_
 
OneAssetOption::results results_
 
- Protected Attributes inherited from FDVanillaEngine
boost::shared_ptr
< GeneralizedBlackScholesProcess
process_
 
Size timeSteps_
 
Size gridPoints_
 
bool timeDependent_
 
Real requiredGridValue_
 
Date exerciseDate_
 
boost::shared_ptr< Payoffpayoff_
 
TridiagonalOperator finiteDifferenceOperator_
 
SampledCurve intrinsicValues_
 
std::vector< boost::shared_ptr
< bc_type > > 
BCs_
 
Real sMin_
 
Real center_
 
Real sMax_
 

Detailed Description

template<template< class > class Scheme = CrankNicolson>
class QuantLib::FDEuropeanEngine< Scheme >

Pricing engine for European options using finite-differences.

Tests:
the correctness of the returned value is tested by checking it against analytic results.
Examples:
EquityOption.cpp.