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fdmultiperiodengine.hpp File Reference


Detailed Description

base engine for options with events happening at specific times

Definition in file fdmultiperiodengine.hpp.

#include <ql/PricingEngines/Vanilla/fdvanillaengine.hpp>
#include <ql/FiniteDifferences/fdtypedefs.hpp>
#include <ql/Instruments/oneassetoption.hpp>
#include <ql/event.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::FDMultiPeriodEngine


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