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fdamericanengine.hpp File Reference


Detailed Description

Finite-differences American option engine.

Definition in file fdamericanengine.hpp.

#include <ql/Instruments/oneassetoption.hpp>
#include <ql/PricingEngines/Vanilla/fdstepconditionengine.hpp>
#include <ql/PricingEngines/Vanilla/fdconditions.hpp>
#include <ql/FiniteDifferences/fdtypedefs.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Typedefs

typedef FDEngineAdapter
< FDAmericanCondition
< FDStepConditionEngine >
, OneAssetOption::engine > 
QuantLib::FDAmericanEngine
 Finite-differences pricing engine for American one asset options.


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