ql/PricingEngines/Vanilla/fdeuropeanengine.hpp File Reference


Detailed Description

Finite-difference European engine.

#include <ql/Instruments/oneassetoption.hpp>
#include <ql/PricingEngines/Vanilla/fdvanillaengine.hpp>
#include <ql/Math/sampledcurve.hpp>

Include dependency graph for fdeuropeanengine.hpp:


Namespaces

namespace  QuantLib

Classes

class  FDEuropeanEngine
 Pricing engine for European options using finite-differences. More...