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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_f_d_dividend_engine_merton73.html">FDDividendEngineMerton73</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
<a href="class_quant_lib_1_1_f_d_dividend_engine_merton73-members.html">List of all members</a> </div>
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<div class="title">FDDividendEngineMerton73< Scheme > Class Template Reference<div class="ingroups"><a class="el" href="group__engines.html">Pricing engines</a> » <a class="el" href="group__vanillaengines.html">Vanilla option engines</a></div></div> </div>
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<p>Finite-differences pricing engine for dividend options using escowed dividends model.
<a href="class_quant_lib_1_1_f_d_dividend_engine_merton73.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/vanilla/fddividendengine.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for FDDividendEngineMerton73< Scheme >:</div>
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Public Member Functions</h2></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>FDDividendEngineMerton73</b> (const ext::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=100, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> gridPoints=100, bool timeDependent=false)</td></tr>
<tr class="separator:a6045d12b89dd34d9223173c2020a097f"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_f_d_dividend_engine_base"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_f_d_dividend_engine_base')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_f_d_dividend_engine_base.html">FDDividendEngineBase< CrankNicolson ></a></td></tr>
<tr class="memitem:a68efdceb90bff746a6099622df0d7556 inherit pub_methods_class_quant_lib_1_1_f_d_dividend_engine_base"><td class="memItemLeft" align="right" valign="top"><a id="a68efdceb90bff746a6099622df0d7556"></a>
 </td><td class="memItemRight" valign="bottom"><b>FDDividendEngineBase</b> (const ext::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=100, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> gridPoints=100, bool timeDependent=false)</td></tr>
<tr class="separator:a68efdceb90bff746a6099622df0d7556 inherit pub_methods_class_quant_lib_1_1_f_d_dividend_engine_base"><td class="memSeparator" colspan="2"> </td></tr>
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Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pro_methods_class_quant_lib_1_1_f_d_dividend_engine_base"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_f_d_dividend_engine_base')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_f_d_dividend_engine_base.html">FDDividendEngineBase< CrankNicolson ></a></td></tr>
<tr class="memitem:a76cb779adc8cbf5f7ba2b166ceeb1f9b inherit pro_methods_class_quant_lib_1_1_f_d_dividend_engine_base"><td class="memItemLeft" align="right" valign="top"><a id="a76cb779adc8cbf5f7ba2b166ceeb1f9b"></a>
virtual void </td><td class="memItemRight" valign="bottom"><b>setupArguments</b> (const PricingEngine::arguments *) const</td></tr>
<tr class="separator:a76cb779adc8cbf5f7ba2b166ceeb1f9b inherit pro_methods_class_quant_lib_1_1_f_d_dividend_engine_base"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aac7b92998bb6ae681165114373646f65 inherit pro_methods_class_quant_lib_1_1_f_d_dividend_engine_base"><td class="memItemLeft" align="right" valign="top"><a id="aac7b92998bb6ae681165114373646f65"></a>
virtual void </td><td class="memItemRight" valign="bottom"><b>setGridLimits</b> () const=0</td></tr>
<tr class="separator:aac7b92998bb6ae681165114373646f65 inherit pro_methods_class_quant_lib_1_1_f_d_dividend_engine_base"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aea3daad8d36c75b1bd1690534939575e inherit pro_methods_class_quant_lib_1_1_f_d_dividend_engine_base"><td class="memItemLeft" align="right" valign="top"><a id="aea3daad8d36c75b1bd1690534939575e"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>getDividendAmount</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const</td></tr>
<tr class="separator:aea3daad8d36c75b1bd1690534939575e inherit pro_methods_class_quant_lib_1_1_f_d_dividend_engine_base"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a4ece60ac5d01a2657d5e74ba0e6fdc1f inherit pro_methods_class_quant_lib_1_1_f_d_dividend_engine_base"><td class="memItemLeft" align="right" valign="top"><a id="a4ece60ac5d01a2657d5e74ba0e6fdc1f"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>getDiscountedDividend</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const</td></tr>
<tr class="separator:a4ece60ac5d01a2657d5e74ba0e6fdc1f inherit pro_methods_class_quant_lib_1_1_f_d_dividend_engine_base"><td class="memSeparator" colspan="2"> </td></tr>
</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><h3>template<template< class > class Scheme = CrankNicolson><br />
class QuantLib::FDDividendEngineMerton73< Scheme ></h3>
<p>Finite-differences pricing engine for dividend options using escowed dividends model. </p>
<p>The Merton-73 engine is the classic engine described in most derivatives texts. However, Haug, Haug, and Lewis in "Back to
Basics: a new approach to the discrete dividend problem" argues that this scheme underprices call options. This is set as the default engine, because it is consistent with the analytic version. </p>
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