/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ /* Copyright (C) 2005 Joseph Wang This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email . The license is also available online at . This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ /*! \file fddividendamericanengine.hpp \brief american engine with discrete deterministic dividends */ #ifndef quantlib_fd_dividend_american_engine_hpp #define quantlib_fd_dividend_american_engine_hpp #include #include #include namespace QuantLib { //! Finite-differences pricing engine for dividend American options /*! \ingroup vanillaengines \test - the correctness of the returned greeks is tested by reproducing numerical derivatives. - the invariance of the results upon addition of null dividends is tested. \bug results are not overly reliable. \bug method impliedVolatility() utterly fails */ typedef FDEngineAdapter, DividendVanillaOption::engine> FDDividendAmericanEngine; typedef FDEngineAdapter, DividendVanillaOption::engine> FDDividendAmericanEngineMerton73; typedef FDEngineAdapter, DividendVanillaOption::engine> FDDividendAmericanEngineShiftScale; } #endif