FDEuropeanEngine< Scheme > Class Template Reference

Pricing engine for European options using finite-differences. More...

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

Inheritance diagram for FDEuropeanEngine< Scheme >:

List of all members.

Public Member Functions

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

Detailed Description

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

Pricing engine for European options using finite-differences.

Tests:
the correctness of the returned value is tested by checking it against analytic results.
Examples:

EquityOption.cpp.