FdEuropean Class Reference#include <ql/Pricers/fdeuropean.hpp>
Inheritance diagram for FdEuropean:
[legend]List of all members.
Detailed Description
Example of European option calculated using finite differences.
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Public Member Functions |
| FdEuropean (Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility, Size timeSteps=200, Size gridPoints=800) |
const Array & | getPrices () const |
boost::shared_ptr< SingleAssetOption > | clone () const |
Protected Member Functions |
void | calculate () const |
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