- QuantLib
- FDVanillaEngine
Finite-differences pricing engine for BSM one asset options. More...
#include <ql/pricingengines/vanilla/fdvanillaengine.hpp>

Public Member Functions | |
| FDVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) | |
| const Array & | grid () const |
Protected Types | |
|
typedef BoundaryCondition < TridiagonalOperator > | bc_type |
Protected Member Functions | |
| 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 | |
|
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 pricing engine for BSM one asset options.
The name is a misnomer as this is a base class for any finite difference scheme. Its main job is to handle grid layout.