org.jquantlib.pricingengines.vanilla.finitedifferences

Class FDVanillaEngine

java.lang.Object

org.jquantlib.pricingengines.vanilla.finitedifferences.FDVanillaEngine

Direct Known Subclasses:

FDMultiPeriodEngine, FDStepConditionEngine

public class FDVanillaEngine
extends java.lang.Object

Finite-differences pricing engine for BSM one asset options

The name is a misnomer as this is a base class for any finite difference scheme. Its main job is to handle grid layout.

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method and Description
Array	grid()

Methods inherited from class java.lang.Object

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

Constructor Detail

FDVanillaEngine

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

Method Detail

grid

public Array grid()