FDBermudanEngine Class Reference
[Vanilla option engines]
#include <ql/pricingengines/vanilla/fdbermudanengine.hpp>
Inherits VanillaOption::engine, and FDMultiPeriodEngine.
Detailed Description
Finite-differences Bermudan engine.
- Examples:
Public Member Functions | |
FDBermudanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, 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 |