QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | List of all members
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 Member Functions inherited from FDDividendEngineBase< Scheme >
virtual void setupArguments (const PricingEngine::arguments *) const
 
Real getDividendAmount (Size i) const
 
Real getDiscountedDividend (Size i) const
 

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.