24#ifndef quantlib_fd_simple_bs_swing_engine_hpp
25#define quantlib_fd_simple_bs_swing_engine_hpp
27#include <ql/pricingengine.hpp>
28#include <ql/instruments/vanillaswingoption.hpp>
29#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
35 class GeneralizedBlackScholesProcess;
39 VanillaSwingOption::results> {
49 const ext::shared_ptr<GeneralizedBlackScholesProcess>
process_;
void calculate() const override
const ext::shared_ptr< GeneralizedBlackScholesProcess > process_
const FdmSchemeDesc schemeDesc_
template base class for option pricing engines
std::size_t Size
size of a container
static FdmSchemeDesc Douglas()