QuantLib: FDVanillaEngine Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

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FDVanillaEngine Class Reference
Pricing engines » Vanilla option engines

Finite-differences pricing engine for BSM one asset options. More...

`#include <ql/pricingengines/vanilla/fdvanillaengine.hpp>`

Inheritance diagram for FDVanillaEngine:
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## Public Member Functions
| FDVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false)
const Array & | grid () const

## Protected Types
typedef BoundaryCondition< TridiagonalOperator > | bc_type

## Protected Member Functions
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< GeneralizedBlackScholesProcess > | process_
Size | timeSteps_
Size | gridPoints_
bool | timeDependent_
Date | exerciseDate_
boost::shared_ptr< Payoff > | payoff_
TridiagonalOperator | finiteDifferenceOperator_
SampledCurve | intrinsicValues_
std::vector< boost::shared_ptr< bc_type > > | BCs_
Real | sMin_
Real | center_
Real | sMax_

## Detailed Description

Finite-differences pricing engine for BSM one asset options.

The name is a misnomer as this is a base class for any finite difference scheme. Its main job is to handle grid layout.