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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_f_d_vanilla_engine.html">FDVanillaEngine</a></div>
<h1>FDVanillaEngine Class Reference<br>
<small>
[<a class="el" href="group__vanillaengines.html">Vanilla option engines</a>]</small>
</h1><!-- doxytag: class="QuantLib::FDVanillaEngine" --><code>#include <ql/pricingengines/vanilla/fdvanillaengine.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for FDVanillaEngine:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_f_d_vanilla_engine__inherit__graph.png" border="0" usemap="#_f_d_vanilla_engine__inherit__map" alt="Inheritance graph"></center>
<map name="_f_d_vanilla_engine__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_f_d_european_engine.html" title="Pricing engine for European options using finite-differences." alt="" coords="5,84,152,111"><area shape="rect" href="class_quant_lib_1_1_f_d_step_condition_engine.html" title="Finite-differences pricing engine for American-style vanilla options." alt="" coords="176,84,352,111"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_f_d_vanilla_engine-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Finite-differences pricing engine for BSM one asset options.
<p>
The name is a misnomer as this is a base class for any finite difference scheme. Its main job is to handle grid layout. <table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9f23f63944cfbb2f8f87765ca0e78e14"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::FDVanillaEngine" ref="9f23f63944cfbb2f8f87765ca0e78e14" args="(const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false)" -->
</td><td class="memItemRight" valign="bottom"><b>FDVanillaEngine</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > &process, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> timeSteps, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> gridPoints, bool timeDependent=false)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="16c466291f64905ece2498448e304db1"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::grid" ref="16c466291f64905ece2498448e304db1" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td><td class="memItemRight" valign="bottom"><b>grid</b> () const </td></tr>
<tr><td colspan="2"><br><h2>Protected Types</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="654b2d0f68b7cc7daa7dc3d3b19ddb87"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::bc_type" ref="654b2d0f68b7cc7daa7dc3d3b19ddb87" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_boundary_condition.html">BoundaryCondition</a><br>
< <a class="el" href="class_quant_lib_1_1_tridiagonal_operator.html">TridiagonalOperator</a> > </td><td class="memItemRight" valign="bottom"><b>bc_type</b></td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="962e8e99edd2b2802cb56cb06c572ec2"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::setupArguments" ref="962e8e99edd2b2802cb56cb06c572ec2" args="(const PricingEngine::arguments *) const " -->
virtual void </td><td class="memItemRight" valign="bottom"><b>setupArguments</b> (const PricingEngine::arguments *) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ab2fa1494d4f4992fbfdbbc6df8328fc"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::setGridLimits" ref="ab2fa1494d4f4992fbfdbbc6df8328fc" args="() const " -->
virtual void </td><td class="memItemRight" valign="bottom"><b>setGridLimits</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="95a121986a34191e5e0e79614f1291bc"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::setGridLimits" ref="95a121986a34191e5e0e79614f1291bc" args="(Real, Time) const " -->
virtual void </td><td class="memItemRight" valign="bottom"><b>setGridLimits</b> (<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="78e07ab8f1efe95af3620d4515bee51d"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::initializeInitialCondition" ref="78e07ab8f1efe95af3620d4515bee51d" args="() const " -->
virtual void </td><td class="memItemRight" valign="bottom"><b>initializeInitialCondition</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ec873e3e9f589c5f7450e44c176bba53"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::initializeBoundaryConditions" ref="ec873e3e9f589c5f7450e44c176bba53" args="() const " -->
virtual void </td><td class="memItemRight" valign="bottom"><b>initializeBoundaryConditions</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11960243546eb3fbfd156bb356521f0c"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::initializeOperator" ref="11960243546eb3fbfd156bb356521f0c" args="() const " -->
virtual void </td><td class="memItemRight" valign="bottom"><b>initializeOperator</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="674e7ea5e90acab0262d251898ff792d"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::getResidualTime" ref="674e7ea5e90acab0262d251898ff792d" args="() const " -->
virtual <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><b>getResidualTime</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e1dd3d1c5ca170640a5924b2ee281e41"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::ensureStrikeInGrid" ref="e1dd3d1c5ca170640a5924b2ee281e41" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>ensureStrikeInGrid</b> () const </td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="56894d395192aaae9970e5f03c5ad02f"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::process_" ref="56894d395192aaae9970e5f03c5ad02f" args="" -->
boost::shared_ptr<br>
< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > </td><td class="memItemRight" valign="bottom"><b>process_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="02b035f6fcde4fb3cc9964c0518964ae"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::timeSteps_" ref="02b035f6fcde4fb3cc9964c0518964ae" args="" -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>timeSteps_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7145182f52df597ca8aa4d5866217c1e"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::gridPoints_" ref="7145182f52df597ca8aa4d5866217c1e" args="" -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>gridPoints_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fe877f42f51da049474a29ca152f6e38"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::timeDependent_" ref="fe877f42f51da049474a29ca152f6e38" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>timeDependent_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5a97f4313a9da6e57d378b06ffcb41a1"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::requiredGridValue_" ref="5a97f4313a9da6e57d378b06ffcb41a1" args="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>requiredGridValue_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="82043c5ad79ac1b7b969001c0fac6b01"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::exerciseDate_" ref="82043c5ad79ac1b7b969001c0fac6b01" args="" -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>exerciseDate_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="73cfad8707a6a802108b5bb7e04aca75"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::payoff_" ref="73cfad8707a6a802108b5bb7e04aca75" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_payoff.html">Payoff</a> > </td><td class="memItemRight" valign="bottom"><b>payoff_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="339a08d2d842659617830840971da35e"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::finiteDifferenceOperator_" ref="339a08d2d842659617830840971da35e" args="" -->
<a class="el" href="class_quant_lib_1_1_tridiagonal_operator.html">TridiagonalOperator</a> </td><td class="memItemRight" valign="bottom"><b>finiteDifferenceOperator_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8edf65769664d4ebdccdf4570511510f"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::intrinsicValues_" ref="8edf65769664d4ebdccdf4570511510f" args="" -->
<a class="el" href="class_quant_lib_1_1_sampled_curve.html">SampledCurve</a> </td><td class="memItemRight" valign="bottom"><b>intrinsicValues_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f5ad104496c57fc44c7d043228540df3"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::BCs_" ref="f5ad104496c57fc44c7d043228540df3" args="" -->
std::vector< boost::shared_ptr<br>
< <a class="el" href="class_quant_lib_1_1_boundary_condition.html">bc_type</a> > > </td><td class="memItemRight" valign="bottom"><b>BCs_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d8993bc76e2e718431695d0ad5844f76"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::sMin_" ref="d8993bc76e2e718431695d0ad5844f76" args="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>sMin_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6d1498fa8ea69ec53974976d2de35a8e"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::center_" ref="6d1498fa8ea69ec53974976d2de35a8e" args="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>center_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a3e79b584dea15108e9e47722b105e03"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::sMax_" ref="a3e79b584dea15108e9e47722b105e03" args="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>sMax_</b></td></tr>
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