Finite-differences engine for dividend options using shifted dividends. More...
#include <ql/pricingengines/vanilla/fddividendengine.hpp>
Public Member Functions | |
FDDividendEngineShiftScale (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) | |
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FDDividendEngineBase (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) | |
Additional Inherited Members | |
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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.