FDDividendAmericanEngine Class Template Reference
[Vanilla option engines]

Finite-differences pricing engine for dividend American options. More...

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

Inherits QuantLib::FDEngineAdapter< QuantLib::FDAmericanCondition< QuantLib::FDDividendEngine< Scheme > >, QuantLib::DividendVanillaOption::engine >.

List of all members.

Public Member Functions

 FDDividendAmericanEngine (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::FDDividendAmericanEngine< Scheme >

Finite-differences pricing engine for dividend American options.

Tests:
  • the correctness of the returned greeks is tested by reproducing numerical derivatives.
  • the invariance of the results upon addition of null dividends is tested.