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)
Public Member Functions inherited from FDVanillaEngine
	FDVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size gridPoints, bool timeDependent=false)
const Array &	grid () const

Additional Inherited Members
Protected Types inherited from FDMultiPeriodEngine< Scheme >
typedef FiniteDifferenceModel < Scheme< TridiagonalOperator > >	model_type
Protected Types inherited from FDVanillaEngine
typedef BoundaryCondition < TridiagonalOperator >	bc_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 Member Functions inherited from FDMultiPeriodEngine< Scheme >
	FDMultiPeriodEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)
virtual void	setupArguments (const PricingEngine::arguments *args, const std::vector< boost::shared_ptr< Event > > &schedule) const
virtual void	setupArguments (const PricingEngine::arguments *a) const
virtual void	calculate (PricingEngine::results *) const
virtual void	executeIntermediateStep (Size step) const =0
virtual void	initializeStepCondition () const
virtual void	initializeModel () const
Time	getDividendTime (Size i) const
Protected Member Functions inherited from FDVanillaEngine
virtual void	setGridLimits (Real, Time) const
virtual void	initializeInitialCondition () const
virtual void	initializeBoundaryConditions () const
virtual void	initializeOperator () const
virtual Time	getResidualTime () const
void	ensureStrikeInGrid () 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_
Protected Attributes inherited from FDVanillaEngine
boost::shared_ptr < GeneralizedBlackScholesProcess >	process_
Size	timeSteps_
Size	gridPoints_
bool	timeDependent_
Real	requiredGridValue_
Date	exerciseDate_
boost::shared_ptr< Payoff >	payoff_
TridiagonalOperator	finiteDifferenceOperator_
SampledCurve	intrinsicValues_
std::vector< boost::shared_ptr < bc_type > >	BCs_
Real	sMin_
Real	center_
Real	sMax_

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