fdndimblackscholesvanillaengine.hpp File Reference

Finite-Differences n-dimensional Black-Scholes vanilla option engine. More...

#include <ql/math/matrix.hpp>
#include <ql/instruments/basketoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>

Go to the source code of this file.

Classes
class	FdndimBlackScholesVanillaEngine
	n-dimensional finite-differences Black Scholes vanilla option engine More...

Namespaces
namespace	QuantLib

Detailed Description

Finite-Differences n-dimensional Black-Scholes vanilla option engine.

Definition in file fdndimblackscholesvanillaengine.hpp.