QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
FDBermudanEngine< Scheme > Class Template Reference

Finite-differences Bermudan engine. More...

#include <ql/pricingengines/vanilla/fdbermudanengine.hpp>

Inherits engine, and FDMultiPeriodEngine< Scheme >.

Public Member Functions

 FDBermudanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)
 
void calculate () const
 

Protected Member Functions

void initializeStepCondition () const
 
void executeIntermediateStep (Size) const
 

Protected Attributes

Real extraTermInBermudan
 

Detailed Description

template<template< class > class Scheme = CrankNicolson>
class QuantLib::FDBermudanEngine< Scheme >

Finite-differences Bermudan engine.

Examples:
EquityOption.cpp.