org.jquantlib.pricingengines.vanilla.finitedifferences

Class FDBermudanEngine

java.lang.Object

org.jquantlib.pricingengines.GenericEngine<OneAssetOption.Arguments,OneAssetOption.Results>

org.jquantlib.instruments.OneAssetOption.EngineImpl

org.jquantlib.pricingengines.vanilla.finitedifferences.FDBermudanEngine

All Implemented Interfaces:

OneAssetOption.Engine, PricingEngine, Observable, Observer

public class FDBermudanEngine
extends OneAssetOption.EngineImpl

Finite-difference Bermudan engine

Nested Class Summary

Nested classes/interfaces inherited from interface org.jquantlib.pricingengines.PricingEngine

PricingEngine.Arguments, PricingEngine.Results

Field Summary

Fields inherited from interface org.jquantlib.pricingengines.PricingEngine

PRICING_ENGINE_NOT_SET

Constructor Summary

Constructors

Constructor and Description
FDBermudanEngine(GeneralizedBlackScholesProcess process)
FDBermudanEngine(GeneralizedBlackScholesProcess process, int timeSteps)
FDBermudanEngine(GeneralizedBlackScholesProcess process, int timeSteps, int gridPoints)
FDBermudanEngine(GeneralizedBlackScholesProcess process, int timeSteps, int gridPoints, boolean timeDependent)

Method Summary

Modifier and Type	Method and Description
void	calculate()

Methods inherited from class org.jquantlib.pricingengines.GenericEngine

addObserver, countObservers, deleteObserver, deleteObservers, getArguments, getObservers, getResults, notifyObservers, notifyObservers, reset, update

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.jquantlib.pricingengines.PricingEngine

getArguments, getResults, reset, update

Methods inherited from interface org.jquantlib.util.Observable

addObserver, countObservers, deleteObserver, deleteObservers, getObservers, notifyObservers, notifyObservers

Methods inherited from interface org.jquantlib.util.Observer

update

Constructor Detail

FDBermudanEngine

public FDBermudanEngine(GeneralizedBlackScholesProcess process)

FDBermudanEngine

public FDBermudanEngine(GeneralizedBlackScholesProcess process,
                        int timeSteps)

FDBermudanEngine

public FDBermudanEngine(GeneralizedBlackScholesProcess process,
                        int timeSteps,
                        int gridPoints)

FDBermudanEngine

public FDBermudanEngine(GeneralizedBlackScholesProcess process,
                        int timeSteps,
                        int gridPoints,
                        boolean timeDependent)

Method Detail

calculate

public void calculate()