FDDividendEngineShiftScale< Scheme > Class Template Reference

Finite-differences engine for dividend options using shifted dividends. More...

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

Inheritance diagram for FDDividendEngineShiftScale< Scheme >:

Public Member Functions

 FDDividendEngineShiftScale (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)
 
- Public Member Functions inherited from FDDividendEngineBase< Scheme >
 FDDividendEngineBase (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)
 

Additional Inherited Members

- Protected Types inherited from FDMultiPeriodEngine< Scheme >
typedef FiniteDifferenceModel
< Scheme< TridiagonalOperator > > 
model_type
 
- Protected Member Functions inherited from FDDividendEngineBase< Scheme >
virtual void setupArguments (const PricingEngine::arguments *) const
 
Real getDividendAmount (Size i) const
 
Real getDiscountedDividend (Size i) const
 
- Protected Attributes inherited from FDMultiPeriodEngine< Scheme >
std::vector< boost::shared_ptr
< Event > > 
events_
 
std::vector< TimestoppingTimes_
 
Size timeStepPerPeriod_
 
SampledCurve prices_
 
boost::shared_ptr
< StandardStepCondition
stepCondition_
 
boost::shared_ptr< model_typemodel_
 

Detailed Description

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

Finite-differences engine for dividend options using shifted dividends.

This engine uses the same algorithm that was used in versions 0.3.11 and earlier. It produces results that are different from the Merton-73 engine.

Possible enhancements:
Review literature to see whether this is described