FDBermudanEngine< Scheme > Class Template Reference

Finite-differences Bermudan engine. More...

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

Inherits engine, and FDMultiPeriodEngine< Scheme >.

List of all members.

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.