FdEuropean Class Reference

#include <ql/Pricers/fdeuropean.hpp>

Inheritance diagram for FdEuropean:

Inheritance graph
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List of all members.

Detailed Description

Example of European option calculated using finite differences.


Public Member Functions

 FdEuropean (Option::Type type, double underlying, double strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, double volatility, Size timeSteps=200, Size gridPoints=800)
const ArraygetPrices () const
Handle< SingleAssetOptionclone () const

Protected Member Functions

void calculate () const


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