Finite-differences vanilla-option engine. More...
#include <ql/pricingengine.hpp>#include <ql/methods/finitedifferences/tridiagonaloperator.hpp>#include <ql/methods/finitedifferences/boundarycondition.hpp>#include <ql/processes/blackscholesprocess.hpp>#include <ql/math/sampledcurve.hpp>#include <ql/payoff.hpp>
Classes | |
| class | FDVanillaEngine |
| Finite-differences pricing engine for BSM one asset options. More... | |
Finite-differences vanilla-option engine.