FDDividendEngineShiftScale< Scheme > Class Template Reference

Finite-differences engine for dividend options using shifted dividends. More...

#include <ql/pricingengines/vanilla/fddividendengine.hpp>

Inheritance diagram for FDDividendEngineShiftScale< Scheme >:

Public Member Functions
	FDDividendEngineShiftScale (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)
Public Member Functions inherited from FDDividendEngineBase< Scheme >
	FDDividendEngineBase (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)

Additional Inherited Members
Protected Types inherited from FDMultiPeriodEngine< Scheme >
typedef FiniteDifferenceModel < Scheme< TridiagonalOperator > >	model_type
Protected Member Functions inherited from FDDividendEngineBase< Scheme >
virtual void	setupArguments (const PricingEngine::arguments *) const
Real	getDividendAmount (Size i) const
Real	getDiscountedDividend (Size i) const
Protected Attributes inherited from FDMultiPeriodEngine< Scheme >
std::vector< boost::shared_ptr < Event > >	events_
std::vector< Time >	stoppingTimes_
Size	timeStepPerPeriod_
SampledCurve	prices_
boost::shared_ptr < StandardStepCondition >	stepCondition_
boost::shared_ptr< model_type >	model_

Detailed Description

template<template< class > class Scheme = CrankNicolson>
class QuantLib::FDDividendEngineShiftScale< Scheme >

Finite-differences engine for dividend options using shifted dividends.

This engine uses the same algorithm that was used in versions 0.3.11 and earlier. It produces results that are different from the Merton-73 engine.

Possible enhancements:

Review literature to see whether this is described