QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
fdsimplebsswingengine.hpp File Reference

Finite Differences Black-Scholes engine for simple swing options. More...

#include <ql/pricingengine.hpp>
#include <ql/instruments/vanillaswingoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>

Go to the source code of this file.

Classes

class  FdSimpleBSSwingEngine
 

Namespaces

namespace  QuantLib
 

Detailed Description

Finite Differences Black-Scholes engine for simple swing options.

Definition in file fdsimplebsswingengine.hpp.