org.jquantlib.pricingengines.vanilla.finitedifferences

Class FDStepConditionEngine

java.lang.Object

org.jquantlib.pricingengines.vanilla.finitedifferences.FDVanillaEngine

org.jquantlib.pricingengines.vanilla.finitedifferences.FDStepConditionEngine

Direct Known Subclasses:

FDAmericanCondition, FDShoutCondition

public abstract class FDStepConditionEngine
extends FDVanillaEngine

Finite-difference template to generate engines

Constructor Summary

Constructors

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

Method Summary

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

FDStepConditionEngine

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