- QuantLib
- FDStepConditionEngine
 
Finite-differences pricing engine for American-style vanilla options. More...
#include <ql/pricingengines/vanilla/fdstepconditionengine.hpp>

| Public Member Functions | |
| FDStepConditionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false) | |
| Protected Member Functions | |
| virtual void | initializeStepCondition () const =0 | 
| virtual void | calculate (PricingEngine::results *) const | 
| Protected Attributes | |
| boost::shared_ptr < StandardStepCondition > | stepCondition_ | 
| SampledCurve | prices_ | 
| TridiagonalOperator | controlOperator_ | 
| std::vector< boost::shared_ptr < bc_type > > | controlBCs_ | 
| SampledCurve | controlPrices_ | 
Finite-differences pricing engine for American-style vanilla options.