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

base engine for options with events happening at specific times More...

#include <ql/pricingengines/vanilla/fdvanillaengine.hpp>
#include <ql/instruments/oneassetoption.hpp>
#include <ql/methods/finitedifferences/fdtypedefs.hpp>
#include <ql/event.hpp>
#include <ql/exercise.hpp>

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Classes

class  FDMultiPeriodEngine< Scheme >
 

Namespaces

namespace  QuantLib
 

Detailed Description

base engine for options with events happening at specific times

Definition in file fdmultiperiodengine.hpp.