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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<li class="navelem"><b>QuantLib</b> </li>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">FDVanillaEngine Class 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::FDVanillaEngine" -->
<p>Finite-differences pricing engine for BSM one asset options.
<a href="class_quant_lib_1_1_f_d_vanilla_engine.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/vanilla/fdvanillaengine.hpp></code></p>
<div class="dynheader">
Inheritance diagram for FDVanillaEngine:</div>
<div class="dyncontent">
<div class="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"/></div>
<map name="_f_d_vanilla_engine_inherit__map" id="_f_d_vanilla_engine_inherit__map">
<area shape="rect" id="node3" href="class_quant_lib_1_1_f_d_european_engine.html" title="Pricing engine for European options using finite-differences." alt="" coords="5,86,208,117"/><area shape="rect" id="node5" href="class_quant_lib_1_1_f_d_step_condition_engine.html" title="Finite-differences pricing engine for American-style vanilla options." alt="" coords="232,86,461,117"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_f_d_vanilla_engine-members.html">List of all members.</a></p>
<table class="memberdecls">
<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="a9f23f63944cfbb2f8f87765ca0e78e14"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::FDVanillaEngine" ref="a9f23f63944cfbb2f8f87765ca0e78e14" 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#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> timeSteps, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> gridPoints, bool timeDependent=false)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a16c466291f64905ece2498448e304db1"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::grid" ref="a16c466291f64905ece2498448e304db1" 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"><h2><a name="pro-types"></a>
Protected Types</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a654b2d0f68b7cc7daa7dc3d3b19ddb87"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::bc_type" ref="a654b2d0f68b7cc7daa7dc3d3b19ddb87" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_boundary_condition.html">BoundaryCondition</a><br class="typebreak"/>
< <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"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a962e8e99edd2b2802cb56cb06c572ec2"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::setupArguments" ref="a962e8e99edd2b2802cb56cb06c572ec2" 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" align="right" valign="top"><a class="anchor" id="aab2fa1494d4f4992fbfdbbc6df8328fc"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::setGridLimits" ref="aab2fa1494d4f4992fbfdbbc6df8328fc" args="() const " -->
virtual void </td><td class="memItemRight" valign="bottom"><b>setGridLimits</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a95a121986a34191e5e0e79614f1291bc"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::setGridLimits" ref="a95a121986a34191e5e0e79614f1291bc" args="(Real, Time) const " -->
virtual void </td><td class="memItemRight" valign="bottom"><b>setGridLimits</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a78e07ab8f1efe95af3620d4515bee51d"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::initializeInitialCondition" ref="a78e07ab8f1efe95af3620d4515bee51d" args="() const " -->
virtual void </td><td class="memItemRight" valign="bottom"><b>initializeInitialCondition</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aec873e3e9f589c5f7450e44c176bba53"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::initializeBoundaryConditions" ref="aec873e3e9f589c5f7450e44c176bba53" args="() const " -->
virtual void </td><td class="memItemRight" valign="bottom"><b>initializeBoundaryConditions</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a11960243546eb3fbfd156bb356521f0c"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::initializeOperator" ref="a11960243546eb3fbfd156bb356521f0c" args="() const " -->
virtual void </td><td class="memItemRight" valign="bottom"><b>initializeOperator</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a674e7ea5e90acab0262d251898ff792d"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::getResidualTime" ref="a674e7ea5e90acab0262d251898ff792d" args="() const " -->
virtual <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><b>getResidualTime</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae1dd3d1c5ca170640a5924b2ee281e41"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::ensureStrikeInGrid" ref="ae1dd3d1c5ca170640a5924b2ee281e41" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>ensureStrikeInGrid</b> () 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="a56894d395192aaae9970e5f03c5ad02f"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::process_" ref="a56894d395192aaae9970e5f03c5ad02f" args="" -->
boost::shared_ptr<br class="typebreak"/>
< <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" align="right" valign="top"><a class="anchor" id="a02b035f6fcde4fb3cc9964c0518964ae"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::timeSteps_" ref="a02b035f6fcde4fb3cc9964c0518964ae" args="" -->
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>timeSteps_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7145182f52df597ca8aa4d5866217c1e"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::gridPoints_" ref="a7145182f52df597ca8aa4d5866217c1e" args="" -->
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>gridPoints_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="afe877f42f51da049474a29ca152f6e38"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::timeDependent_" ref="afe877f42f51da049474a29ca152f6e38" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>timeDependent_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5a97f4313a9da6e57d378b06ffcb41a1"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::requiredGridValue_" ref="a5a97f4313a9da6e57d378b06ffcb41a1" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>requiredGridValue_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a82043c5ad79ac1b7b969001c0fac6b01"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::exerciseDate_" ref="a82043c5ad79ac1b7b969001c0fac6b01" 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" align="right" valign="top"><a class="anchor" id="a73cfad8707a6a802108b5bb7e04aca75"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::payoff_" ref="a73cfad8707a6a802108b5bb7e04aca75" 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" align="right" valign="top"><a class="anchor" id="a339a08d2d842659617830840971da35e"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::finiteDifferenceOperator_" ref="a339a08d2d842659617830840971da35e" 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" align="right" valign="top"><a class="anchor" id="a8edf65769664d4ebdccdf4570511510f"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::intrinsicValues_" ref="a8edf65769664d4ebdccdf4570511510f" 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" align="right" valign="top"><a class="anchor" id="af5ad104496c57fc44c7d043228540df3"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::BCs_" ref="af5ad104496c57fc44c7d043228540df3" 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>BCs_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad8993bc76e2e718431695d0ad5844f76"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::sMin_" ref="ad8993bc76e2e718431695d0ad5844f76" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>sMin_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6d1498fa8ea69ec53974976d2de35a8e"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::center_" ref="a6d1498fa8ea69ec53974976d2de35a8e" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>center_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa3e79b584dea15108e9e47722b105e03"></a><!-- doxytag: member="QuantLib::FDVanillaEngine::sMax_" ref="aa3e79b584dea15108e9e47722b105e03" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>sMax_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Finite-differences pricing engine for BSM one asset options. </p>
<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. </p>
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