- QuantLib
- FDBermudanEngine
 
Finite-differences Bermudan engine. More...
#include <ql/pricingengines/vanilla/fdbermudanengine.hpp>
Inherits engine, and FDMultiPeriodEngine< Scheme >.
| 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 | 
Finite-differences Bermudan engine.