QuantLib 0.3.11
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Reference manual
FDBermudanEngine Class Reference
[Vanilla option engines]
#include <ql/PricingEngines/Vanilla/fdbermudanengine.hpp>
Inheritance diagram for FDBermudanEngine:
Detailed Description
Finite-differences Bermudan engine.
Public Member Functions | |
| FDBermudanEngine (Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) | |
| void | calculate () const |
Protected Member Functions | |
| void | initializeStepCondition () const |
| void | executeIntermediateStep (Size) const |
Protected Attributes | |
| Real | extraTermInBermudan |
