QdFpAmericanEngine Class Reference

High performance/precision American engine based on fixed point iteration for the exercise boundary. More...

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

Public Types
enum	FixedPointEquation { FP_A , FP_B , Auto }

Public Member Functions
	QdFpAmericanEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > bsProcess, ext::shared_ptr< QdFpIterationScheme > iterationScheme=accurateScheme(), FixedPointEquation fpEquation=Auto)

Static Public Member Functions
static ext::shared_ptr< QdFpIterationScheme >	fastScheme ()
static ext::shared_ptr< QdFpIterationScheme >	accurateScheme ()
static ext::shared_ptr< QdFpIterationScheme >	highPrecisionScheme ()

Protected Member Functions
Real	calculatePut (Real S, Real K, Rate r, Rate q, Volatility vol, Time T) const override

Detailed Description

High performance/precision American engine based on fixed point iteration for the exercise boundary.

References: Leif Andersen, Mark Lake and Dimitri Offengenden (2015) "High Performance American Option Pricing", https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2547027

Leif Andersen, Mark Lake (2021) "Fast American Option Pricing: The Double-Boundary Case"

https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10969