FDDividendEngineShiftScale Class Template Reference
[Vanilla option engines]

Finite-differences engine for dividend options using shifted dividends. More...

#include <ql/pricingengines/vanilla/fddividendengine.hpp>

Inheritance diagram for FDDividendEngineShiftScale:

List of all members.

Public Member Functions

 FDDividendEngineShiftScale (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)


Detailed Description

template<template< class > class Scheme = CrankNicolson>
class QuantLib::FDDividendEngineShiftScale< Scheme >

Finite-differences engine for dividend options using shifted dividends.

This engine uses the same algorithm that was used in versions 0.3.11 and earlier. It produces results that are different from the Merton-73 engine.

Possible enhancements:
Review literature to see whether this is described