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<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
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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_vanilla_engine.html">FDVanillaEngine</a></li> </ul>
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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__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 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>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for FDVanillaEngine:</div>
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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:ac6bd9b12fce0b95be8eb66c97bac3476"><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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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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Protected Types</h2></td></tr>
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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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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">
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Protected Attributes</h2></td></tr>
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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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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>timeSteps_</b></td></tr>
<tr class="separator:a02b035f6fcde4fb3cc9964c0518964ae"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a7145182f52df597ca8aa4d5866217c1e"><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>
<tr class="separator:a7145182f52df597ca8aa4d5866217c1e"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:afe877f42f51da049474a29ca152f6e38"><td class="memItemLeft" align="right" valign="top"><a id="afe877f42f51da049474a29ca152f6e38"></a>
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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<tr class="memitem:a4a79fd8e0be39416ec753c5a46e81104"><td class="memItemLeft" align="right" valign="top"><a id="a4a79fd8e0be39416ec753c5a46e81104"></a>
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>
<tr class="separator:a4a79fd8e0be39416ec753c5a46e81104"><td class="memSeparator" colspan="2"> </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>
<tr class="separator:a339a08d2d842659617830840971da35e"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a8edf65769664d4ebdccdf4570511510f"><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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<tr class="memitem:a477f756d9d7389aeedf94cdd1f65d316"><td class="memItemLeft" align="right" valign="top"><a id="a477f756d9d7389aeedf94cdd1f65d316"></a>
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"><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"><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>
<tr class="separator:a6d1498fa8ea69ec53974976d2de35a8e"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa3e79b584dea15108e9e47722b105e03"><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>
<a name="details" id="details"></a><h2 class="groupheader">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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