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<title>QuantLib: FDStepConditionEngine< Scheme > Class Template Reference</title>
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<div id="projectbrief">A free/open-source library for quantitative finance</div>
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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_step_condition_engine.html">FDStepConditionEngine</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">FDStepConditionEngine< Scheme > Class Template Reference<span class="mlabels"><span class="mlabel">abstract</span></span><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 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>
<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 FDStepConditionEngine< Scheme >:</div>
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<area shape="rect" title="Finite-differences pricing engine for American-style vanilla options." alt="" coords="5,80,168,121"/>
<area shape="rect" href="class_quant_lib_1_1_f_d_vanilla_engine.html" title="Finite-differences pricing engine for BSM one asset options." alt="" coords="27,5,146,32"/>
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<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a1503ff7e0e2cf51e0f159ba5cbeb9937"><td class="memItemLeft" align="right" valign="top"><a id="a1503ff7e0e2cf51e0f159ba5cbeb9937"></a>
 </td><td class="memItemRight" valign="bottom"><b>FDStepConditionEngine</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, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> gridPoints, bool timeDependent=false)</td></tr>
<tr class="separator:a1503ff7e0e2cf51e0f159ba5cbeb9937"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_f_d_vanilla_engine"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_f_d_vanilla_engine')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_f_d_vanilla_engine.html">FDVanillaEngine</a></td></tr>
<tr class="memitem:ac6bd9b12fce0b95be8eb66c97bac3476 inherit pub_methods_class_quant_lib_1_1_f_d_vanilla_engine"><td class="memItemLeft" align="right" valign="top"><a id="ac6bd9b12fce0b95be8eb66c97bac3476"></a>
 </td><td class="memItemRight" valign="bottom"><b>FDVanillaEngine</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, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> gridPoints, bool timeDependent=false)</td></tr>
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<tr class="memitem:a85f0d97202ef17dad6b109e7121a2230 inherit pub_methods_class_quant_lib_1_1_f_d_vanilla_engine"><td class="memItemLeft" align="right" valign="top"><a id="a85f0d97202ef17dad6b109e7121a2230"></a>
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>
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</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr class="memitem:afd440604ad7e7a187d1bb72170eb602e"><td class="memItemLeft" align="right" valign="top"><a id="afd440604ad7e7a187d1bb72170eb602e"></a>
virtual void </td><td class="memItemRight" valign="bottom"><b>initializeStepCondition</b> () const =0</td></tr>
<tr class="separator:afd440604ad7e7a187d1bb72170eb602e"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9f76ac719862b1c13f0fd778aaa8ba60"><td class="memItemLeft" align="right" valign="top"><a id="a9f76ac719862b1c13f0fd778aaa8ba60"></a>
virtual void </td><td class="memItemRight" valign="bottom"><b>calculate</b> (PricingEngine::results *) const</td></tr>
<tr class="separator:a9f76ac719862b1c13f0fd778aaa8ba60"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_methods_class_quant_lib_1_1_f_d_vanilla_engine"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_f_d_vanilla_engine')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_f_d_vanilla_engine.html">FDVanillaEngine</a></td></tr>
<tr class="memitem:abec70c9a753d292d58fc55b77d7e21ff inherit pro_methods_class_quant_lib_1_1_f_d_vanilla_engine"><td class="memItemLeft" align="right" valign="top"><a id="abec70c9a753d292d58fc55b77d7e21ff"></a>
virtual void </td><td class="memItemRight" valign="bottom"><b>setupArguments</b> (const PricingEngine::arguments *) const</td></tr>
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virtual void </td><td class="memItemRight" valign="bottom"><b>setGridLimits</b> () const</td></tr>
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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>
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virtual void </td><td class="memItemRight" valign="bottom"><b>initializeInitialCondition</b> () const</td></tr>
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virtual void </td><td class="memItemRight" valign="bottom"><b>initializeBoundaryConditions</b> () const</td></tr>
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virtual void </td><td class="memItemRight" valign="bottom"><b>initializeOperator</b> () const</td></tr>
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virtual <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><b>getResidualTime</b> () const</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>ensureStrikeInGrid</b> () const</td></tr>
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</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr class="memitem:a7ac5765039cdea3d4f6d4e6295329b7f"><td class="memItemLeft" align="right" valign="top"><a id="a7ac5765039cdea3d4f6d4e6295329b7f"></a>
ext::shared_ptr< <a class="el" href="namespace_quant_lib.html#a1a481730b77798735b31d2a815a5d242">StandardStepCondition</a> > </td><td class="memItemRight" valign="bottom"><b>stepCondition_</b></td></tr>
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<tr class="memitem:a68d5c67c88c1a217f21a0dbf253abaf4"><td class="memItemLeft" align="right" valign="top"><a id="a68d5c67c88c1a217f21a0dbf253abaf4"></a>
<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>
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<tr class="memitem:ab88681c2339de3e010c4e3fd219517e2"><td class="memItemLeft" align="right" valign="top"><a id="ab88681c2339de3e010c4e3fd219517e2"></a>
<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>
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std::vector< ext::shared_ptr< <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>
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<tr class="memitem:a4d13291612f90dd1b2d60f8251ae3569"><td class="memItemLeft" align="right" valign="top"><a id="a4d13291612f90dd1b2d60f8251ae3569"></a>
<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>
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<tr class="inherit_header pro_attribs_class_quant_lib_1_1_f_d_vanilla_engine"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_f_d_vanilla_engine')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_f_d_vanilla_engine.html">FDVanillaEngine</a></td></tr>
<tr class="memitem:ac7eeb4421e8f1769148f3aaca0624b20 inherit pro_attribs_class_quant_lib_1_1_f_d_vanilla_engine"><td class="memItemLeft" align="right" valign="top"><a id="ac7eeb4421e8f1769148f3aaca0624b20"></a>
ext::shared_ptr< <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>
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<tr class="memitem:a02b035f6fcde4fb3cc9964c0518964ae inherit pro_attribs_class_quant_lib_1_1_f_d_vanilla_engine"><td class="memItemLeft" align="right" valign="top"><a id="a02b035f6fcde4fb3cc9964c0518964ae"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>timeSteps_</b></td></tr>
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<tr class="memitem:a7145182f52df597ca8aa4d5866217c1e inherit pro_attribs_class_quant_lib_1_1_f_d_vanilla_engine"><td class="memItemLeft" align="right" valign="top"><a id="a7145182f52df597ca8aa4d5866217c1e"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>gridPoints_</b></td></tr>
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bool </td><td class="memItemRight" valign="bottom"><b>timeDependent_</b></td></tr>
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<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>exerciseDate_</b></td></tr>
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ext::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>
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<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>
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<tr class="memitem:a8edf65769664d4ebdccdf4570511510f inherit pro_attribs_class_quant_lib_1_1_f_d_vanilla_engine"><td class="memItemLeft" align="right" valign="top"><a id="a8edf65769664d4ebdccdf4570511510f"></a>
<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>
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std::vector< ext::shared_ptr< <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>
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<tr class="memitem:ad8993bc76e2e718431695d0ad5844f76 inherit pro_attribs_class_quant_lib_1_1_f_d_vanilla_engine"><td class="memItemLeft" align="right" valign="top"><a id="ad8993bc76e2e718431695d0ad5844f76"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>sMin_</b></td></tr>
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<tr class="memitem:a6d1498fa8ea69ec53974976d2de35a8e inherit pro_attribs_class_quant_lib_1_1_f_d_vanilla_engine"><td class="memItemLeft" align="right" valign="top"><a id="a6d1498fa8ea69ec53974976d2de35a8e"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>center_</b></td></tr>
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<tr class="memitem:aa3e79b584dea15108e9e47722b105e03 inherit pro_attribs_class_quant_lib_1_1_f_d_vanilla_engine"><td class="memItemLeft" align="right" valign="top"><a id="aa3e79b584dea15108e9e47722b105e03"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>sMax_</b></td></tr>
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</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pro_types_class_quant_lib_1_1_f_d_vanilla_engine"><td colspan="2" onclick="javascript:toggleInherit('pro_types_class_quant_lib_1_1_f_d_vanilla_engine')"><img src="closed.png" alt="-"/> Protected Types inherited from <a class="el" href="class_quant_lib_1_1_f_d_vanilla_engine.html">FDVanillaEngine</a></td></tr>
<tr class="memitem:a654b2d0f68b7cc7daa7dc3d3b19ddb87 inherit pro_types_class_quant_lib_1_1_f_d_vanilla_engine"><td class="memItemLeft" align="right" valign="top"><a id="a654b2d0f68b7cc7daa7dc3d3b19ddb87"></a>
typedef <a class="el" href="class_quant_lib_1_1_boundary_condition.html">BoundaryCondition</a>< <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>
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</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::FDStepConditionEngine< Scheme ></h3>
<p>Finite-differences pricing engine for American-style vanilla options. </p>
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