org.jquantlib.pricingengines.vanilla.finitedifferences

Class FDMultiPeriodEngine

java.lang.Object

org.jquantlib.pricingengines.vanilla.finitedifferences.FDVanillaEngine

org.jquantlib.pricingengines.vanilla.finitedifferences.FDMultiPeriodEngine

Direct Known Subclasses:

FDDividendEngineBase

public abstract class FDMultiPeriodEngine
extends FDVanillaEngine

Base engine for options with events happening at specific times

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method and Description
void	calculate(PricingEngine.Results results)
void	setupArguments(PricingEngine.Arguments args, java.util.List<Event> schedule)

Methods inherited from class org.jquantlib.pricingengines.vanilla.finitedifferences.FDVanillaEngine

grid

Methods inherited from class java.lang.Object

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

Constructor Detail

FDMultiPeriodEngine

public FDMultiPeriodEngine(GeneralizedBlackScholesProcess process)

FDMultiPeriodEngine

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

Method Detail

setupArguments

public void setupArguments(PricingEngine.Arguments args,
                           java.util.List<Event> schedule)

calculate

public void calculate(PricingEngine.Results results)