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 ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) | |
Public Member Functions inherited from FDDividendEngineBase< CrankNicolson > | |
| FDDividendEngineBase (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) | |
Additional Inherited Members | |
Protected Member Functions inherited from FDDividendEngineBase< CrankNicolson > | |
| virtual void | setupArguments (const PricingEngine::arguments *) const |
| virtual void | setGridLimits () const=0 |
| Real | getDividendAmount (Size i) const |
| Real | getDiscountedDividend (Size i) const |
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.