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"ql/pricingengines/vanilla/fddividendengine"
FDDividendEngine
Class FDDividendEngine
Use Merton73 engine as default.
Hierarchy
FDDividendEngineMerton73
FDDividendEngine
Index
Constructors
constructor
Properties
Scheme
_BCs
_center
_events
_exercise
Date
_finite
Difference
Operator
_grid
Points
_intrinsic
Values
_model
_payoff
_prices
_process
_s
Max
_s
Min
_step
Condition
_stopping
Times
_time
Dependent
_time
Step
Per
Period
_time
Steps
_safety
Zone
Factor
Methods
calculate2
ensure
Strike
InGrid
execute
Intermediate
Step
fd
Init
get
Discounted
Dividend
get
Dividend
Amount
get
Dividend
Time
get
Residual
Time
grid
init
init1
initialize
Boundary
Conditions
initialize
Initial
Condition
initialize
Model
initialize
Operator
initialize
Step
Condition
safe
Grid
Points
set
Grid
Limits
set
Grid
Limits1
set
Grid
Limits2
setup
Arguments
setup
Arguments2
Constructors
constructor
new FDDividend
Engine
(
Scheme
?:
any
)
:
FDDividendEngine
Parameters
Default value
Scheme:
any
= new CrankNicolson()
Returns
FDDividendEngine
Properties
Scheme
Scheme
:
any
_BCs
_BCs
:
bc_type
[]
_center
_center
:
Real
_events
_events
:
Event
[]
_exercise
Date
_exercise
Date
:
Date
_finite
Difference
Operator
_finite
Difference
Operator
:
TridiagonalOperator
_grid
Points
_grid
Points
:
Size
_intrinsic
Values
_intrinsic
Values
:
SampledCurve
_model
_model
:
any
_payoff
_payoff
:
Payoff
_prices
_prices
:
SampledCurve
_process
_process
:
GeneralizedBlackScholesProcess
_s
Max
_s
Max
:
Real
_s
Min
_s
Min
:
Real
_step
Condition
_step
Condition
:
StandardStepCondition
_stopping
Times
_stopping
Times
:
Time
[]
_time
Dependent
_time
Dependent
:
boolean
_time
Step
Per
Period
_time
Step
Per
Period
:
Size
_time
Steps
_time
Steps
:
Size
Static
_safety
Zone
Factor
_safety
Zone
Factor
:
Real
= 1.1
Methods
calculate2
calculate2
(
r
:
Results
)
:
void
Parameters
r:
Results
Returns
void
ensure
Strike
InGrid
ensure
Strike
InGrid
(
)
:
void
Returns
void
execute
Intermediate
Step
execute
Intermediate
Step
(
step
:
Size
)
:
void
Parameters
step:
Size
Returns
void
fd
Init
fd
Init
(
process
:
GeneralizedBlackScholesProcess
, timeSteps
?:
Size
, gridPoints
?:
Size
, timeDependent
?:
boolean
)
:
FDDividendEngine
Parameters
process:
GeneralizedBlackScholesProcess
Default value
timeSteps:
Size
= 100
Default value
gridPoints:
Size
= 100
Default value
timeDependent:
boolean
= false
Returns
FDDividendEngine
Protected
get
Discounted
Dividend
get
Discounted
Dividend
(
i
:
Size
)
:
Real
Parameters
i:
Size
Returns
Real
Protected
get
Dividend
Amount
get
Dividend
Amount
(
i
:
Size
)
:
Real
Parameters
i:
Size
Returns
Real
get
Dividend
Time
get
Dividend
Time
(
i
:
Size
)
:
Time
Parameters
i:
Size
Returns
Time
get
Residual
Time
get
Residual
Time
(
)
:
Time
Returns
Time
grid
grid
(
)
:
Real
[]
Returns
Real
[]
init
init
(
process
:
GeneralizedBlackScholesProcess
, timeSteps
:
Size
, gridPoints
:
Size
, timeDependent
?:
boolean
)
:
FDVanillaEngine
Parameters
process:
GeneralizedBlackScholesProcess
timeSteps:
Size
gridPoints:
Size
Default value
timeDependent:
boolean
= false
Returns
FDVanillaEngine
init1
init1
(
process
:
GeneralizedBlackScholesProcess
, timeSteps
?:
Size
, gridPoints
?:
Size
, timeDependent
?:
boolean
)
:
FDMultiPeriodEngine
Parameters
process:
GeneralizedBlackScholesProcess
Default value
timeSteps:
Size
= 100
Default value
gridPoints:
Size
= 100
Default value
timeDependent:
boolean
= false
Returns
FDMultiPeriodEngine
initialize
Boundary
Conditions
initialize
Boundary
Conditions
(
)
:
void
Returns
void
initialize
Initial
Condition
initialize
Initial
Condition
(
)
:
void
Returns
void
initialize
Model
initialize
Model
(
)
:
void
Returns
void
initialize
Operator
initialize
Operator
(
)
:
void
Returns
void
initialize
Step
Condition
initialize
Step
Condition
(
)
:
void
Returns
void
safe
Grid
Points
safe
Grid
Points
(
gridPoints
:
Size
, residualTime
:
Time
)
:
Size
Parameters
gridPoints:
Size
residualTime:
Time
Returns
Size
set
Grid
Limits
set
Grid
Limits
(
)
:
void
Returns
void
set
Grid
Limits1
set
Grid
Limits1
(
)
:
void
Returns
void
set
Grid
Limits2
set
Grid
Limits2
(
center
:
Real
, t
:
Time
)
:
void
Parameters
center:
Real
t:
Time
Returns
void
setup
Arguments
setup
Arguments
(
a
:
Arguments
)
:
void
Parameters
a:
Arguments
Returns
void
setup
Arguments2
setup
Arguments2
(
args
:
Arguments
, schedule
:
Event
[]
)
:
void
Parameters
args:
Arguments
schedule:
Event
[]
Returns
void
Globals
"ql/pricingengines/vanilla/fddividendengine"
Dividend
Adder
FDDividend
Engine
constructor
Scheme
_BCs
_center
_events
_exercise
Date
_finite
Difference
Operator
_grid
Points
_intrinsic
Values
_model
_payoff
_prices
_process
_s
Max
_s
Min
_step
Condition
_stopping
Times
_time
Dependent
_time
Step
Per
Period
_time
Steps
_safety
Zone
Factor
calculate2
ensure
Strike
InGrid
execute
Intermediate
Step
fd
Init
get
Discounted
Dividend
get
Dividend
Amount
get
Dividend
Time
get
Residual
Time
grid
init
init1
initialize
Boundary
Conditions
initialize
Initial
Condition
initialize
Model
initialize
Operator
initialize
Step
Condition
safe
Grid
Points
set
Grid
Limits
set
Grid
Limits1
set
Grid
Limits2
setup
Arguments
setup
Arguments2
FDDividend
Engine
Base
FDDividend
Engine
Merton73
FDDividend
Engine
Shift
Scale
Use Merton73 engine as default.