FDVanillaEngine Class Reference
Finite-differences pricing engine for BSM one asset options. More...
#include <ql/pricingengines/vanilla/fdvanillaengine.hpp>
Inheritance diagram for FDVanillaEngine:

Public Member Functions | |
FDVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) | |
const Array & | grid () const |
Protected Types | |
typedef BoundaryCondition < TridiagonalOperator > | bc_type |
Protected Member Functions | |
virtual void | setupArguments (const PricingEngine::arguments *) const |
virtual void | setGridLimits () const |
virtual void | setGridLimits (Real, Time) const |
virtual void | initializeInitialCondition () const |
virtual void | initializeBoundaryConditions () const |
virtual void | initializeOperator () const |
virtual Time | getResidualTime () const |
void | ensureStrikeInGrid () const |
Protected Attributes | |
boost::shared_ptr < GeneralizedBlackScholesProcess > | process_ |
Size | timeSteps_ |
Size | gridPoints_ |
bool | timeDependent_ |
Real | requiredGridValue_ |
Date | exerciseDate_ |
boost::shared_ptr< Payoff > | payoff_ |
TridiagonalOperator | finiteDifferenceOperator_ |
SampledCurve | intrinsicValues_ |
std::vector< boost::shared_ptr < bc_type > > | BCs_ |
Real | sMin_ |
Real | center_ |
Real | sMax_ |
Detailed Description
Finite-differences pricing engine for BSM one asset options.
The name is a misnomer as this is a base class for any finite difference scheme. Its main job is to handle grid layout.