QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
FDStepConditionEngine< Scheme > Class Template Referenceabstract

Finite-differences pricing engine for American-style vanilla options. More...

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

+ Inheritance diagram for FDStepConditionEngine< Scheme >:

Public Member Functions

 FDStepConditionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false)
 
- Public Member Functions inherited from FDVanillaEngine
 FDVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false)
 
const Arraygrid () const
 

Protected Member Functions

virtual void initializeStepCondition () const =0
 
virtual void calculate (PricingEngine::results *) const
 
- Protected Member Functions inherited from FDVanillaEngine
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
< StandardStepCondition
stepCondition_
 
SampledCurve prices_
 
TridiagonalOperator controlOperator_
 
std::vector< boost::shared_ptr
< bc_type > > 
controlBCs_
 
SampledCurve controlPrices_
 
- Protected Attributes inherited from FDVanillaEngine
boost::shared_ptr
< GeneralizedBlackScholesProcess
process_
 
Size timeSteps_
 
Size gridPoints_
 
bool timeDependent_
 
Date exerciseDate_
 
boost::shared_ptr< Payoffpayoff_
 
TridiagonalOperator finiteDifferenceOperator_
 
SampledCurve intrinsicValues_
 
std::vector< boost::shared_ptr
< bc_type > > 
BCs_
 
Real sMin_
 
Real center_
 
Real sMax_
 

Additional Inherited Members

- Protected Types inherited from FDVanillaEngine
typedef BoundaryCondition
< TridiagonalOperator
bc_type
 

Detailed Description

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

Finite-differences pricing engine for American-style vanilla options.