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Sourcecode: quantlib version File versions

fdbsmoption.hpp File Reference


Detailed Description

common code for numerical option evaluation

Definition in file fdbsmoption.hpp.

#include <ql/Pricers/singleassetoption.hpp>
#include <ql/FiniteDifferences/bsmoperator.hpp>
#include <ql/FiniteDifferences/boundarycondition.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::FdBsmOption

Defines

#define QL_NUM_OPT_GRID_POINTS_PER_YEAR   2
 This is a safety check to be sure we have enough grid points.
#define QL_NUM_OPT_MIN_GRID_POINTS   10
 This is a safety check to be sure we have enough grid points.


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