Logo Search packages:      
Sourcecode: quantlib version File versions

QuantLib::FDStepConditionEngine Class Reference

#include <fdstepconditionengine.hpp>

Inheritance diagram for QuantLib::FDStepConditionEngine:

QuantLib::VanillaOption::engine QuantLib::FDVanillaEngine QuantLib::GenericEngine< VanillaOption::arguments, VanillaOption::results > QuantLib::PricingEngine QuantLib::Observable QuantLib::FDAmericanEngine QuantLib::FDShoutEngine

List of all members.


Detailed Description

Finite-differences pricing engine for American-style vanilla options.

Definition at line 35 of file fdstepconditionengine.hpp.


Public Member Functions

Argumentsarguments () const
 FDStepConditionEngine (Size timeSteps, Size gridPoints, bool timeDependent=false)
const Arraygrid () const
void notifyObservers ()
void reset () const
const Resultsresults () const

Protected Types

typedef BoundaryCondition
< TridiagonalOperator
bc_type

Protected Member Functions

void calculate () const
boost::shared_ptr
< BlackScholesProcess
getProcess () const
virtual Time getResidualTime () const
virtual Time getYearFraction (Date d) const
virtual void initializeGrid () const
virtual void initializeInitialCondition () const
virtual void initializeOperator () const
virtual void initializeStepCondition () const =0
virtual void setGridLimits (Real, Time) const
virtual void setGridLimits () const

Protected Attributes

VanillaOption::arguments arguments_
std::vector< boost::shared_ptr
< bc_type > > 
BCs_
Real center_
std::vector< boost::shared_ptr
< bc_type > > 
controlBCs_
TridiagonalOperator controlOperator_
Array controlPrices_
TridiagonalOperator finiteDifferenceOperator_
Array grid_
Size gridPoints_
Array intrinsicValues_
Array prices_
VanillaOption::results results_
Real sMax_
Real sMin_
boost::shared_ptr
< StandardStepCondition
stepCondition_
bool timeDependent_
Size timeSteps_
const VanillaOption::argumentsvanillaArguments_

The documentation for this class was generated from the following files:

Generated by  Doxygen 1.6.0   Back to index