FdStepConditionOption Class Reference#include <ql/Pricers/fdstepconditionoption.hpp>
Inheritance diagram for FdStepConditionOption:
[legend]List of all members.
Detailed Description
option executing additional code at each time step
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Protected Member Functions |
| FdStepConditionOption (Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility, Size timeSteps, Size gridPoints) |
void | calculate () const |
virtual void | initializeStepCondition () const =0 |
Protected Attributes |
boost::shared_ptr< StandardStepCondition > | stepCondition_ |
Size | timeSteps_ |
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