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<title>FDStepConditionEngine< Scheme > Class Template Reference</title>
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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<div class="title">FDStepConditionEngine< Scheme > Class Template Reference<div class="ingroups"><a class="el" href="group__vanillaengines.html">Vanilla option engines</a></div></div> </div>
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<!-- doxytag: class="QuantLib::FDStepConditionEngine" --><!-- doxytag: inherits="QuantLib::FDVanillaEngine" -->
<p>Finite-differences pricing engine for American-style vanilla options.
<a href="class_quant_lib_1_1_f_d_step_condition_engine.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/vanilla/fdstepconditionengine.hpp></code></p>
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Inheritance diagram for FDStepConditionEngine< Scheme >:</div>
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<div class="center"><img src="class_quant_lib_1_1_f_d_step_condition_engine__inherit__graph.png" border="0" usemap="#_f_d_step_condition_engine_3_01_scheme_01_4_inherit__map" alt="Inheritance graph"/></div>
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<area shape="rect" id="node2" href="class_quant_lib_1_1_f_d_vanilla_engine.html" title="Finite-differences pricing engine for BSM one asset options." alt="" coords="63,6,177,37"/></map>
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<p><a href="class_quant_lib_1_1_f_d_step_condition_engine-members.html">List of all members.</a></p>
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<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af644955dae523700eea4f242983c6b9d"></a><!-- doxytag: member="QuantLib::FDStepConditionEngine::FDStepConditionEngine" ref="af644955dae523700eea4f242983c6b9d" args="(const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false)" -->
 </td><td class="memItemRight" valign="bottom"><b>FDStepConditionEngine</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#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> timeSteps, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> gridPoints, bool timeDependent=false)</td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="afd440604ad7e7a187d1bb72170eb602e"></a><!-- doxytag: member="QuantLib::FDStepConditionEngine::initializeStepCondition" ref="afd440604ad7e7a187d1bb72170eb602e" args="() const =0" -->
virtual void </td><td class="memItemRight" valign="bottom"><b>initializeStepCondition</b> () const =0</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1fe4d9b38864bd09fed225810631c15b"></a><!-- doxytag: member="QuantLib::FDStepConditionEngine::calculate" ref="a1fe4d9b38864bd09fed225810631c15b" args="(PricingEngine::results *) const " -->
virtual void </td><td class="memItemRight" valign="bottom"><b>calculate</b> (PricingEngine::results *) const </td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a18024c5d78548b580cca5cb4753c45a1"></a><!-- doxytag: member="QuantLib::FDStepConditionEngine::stepCondition_" ref="a18024c5d78548b580cca5cb4753c45a1" args="" -->
boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_step_condition.html">StandardStepCondition</a> > </td><td class="memItemRight" valign="bottom"><b>stepCondition_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a68d5c67c88c1a217f21a0dbf253abaf4"></a><!-- doxytag: member="QuantLib::FDStepConditionEngine::prices_" ref="a68d5c67c88c1a217f21a0dbf253abaf4" args="" -->
<a class="el" href="class_quant_lib_1_1_sampled_curve.html">SampledCurve</a> </td><td class="memItemRight" valign="bottom"><b>prices_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab88681c2339de3e010c4e3fd219517e2"></a><!-- doxytag: member="QuantLib::FDStepConditionEngine::controlOperator_" ref="ab88681c2339de3e010c4e3fd219517e2" args="" -->
<a class="el" href="class_quant_lib_1_1_tridiagonal_operator.html">TridiagonalOperator</a> </td><td class="memItemRight" valign="bottom"><b>controlOperator_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aaa5e8f02e94cfa06866412b0903b65be"></a><!-- doxytag: member="QuantLib::FDStepConditionEngine::controlBCs_" ref="aaa5e8f02e94cfa06866412b0903b65be" args="" -->
std::vector< boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_boundary_condition.html">bc_type</a> > > </td><td class="memItemRight" valign="bottom"><b>controlBCs_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4d13291612f90dd1b2d60f8251ae3569"></a><!-- doxytag: member="QuantLib::FDStepConditionEngine::controlPrices_" ref="a4d13291612f90dd1b2d60f8251ae3569" args="" -->
<a class="el" href="class_quant_lib_1_1_sampled_curve.html">SampledCurve</a> </td><td class="memItemRight" valign="bottom"><b>controlPrices_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><h3>template<template< class > class Scheme = CrankNicolson><br/>
class QuantLib::FDStepConditionEngine< Scheme ></h3>
<p>Finite-differences pricing engine for American-style vanilla options. </p>
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