FdHestonBarrierEngine Class Reference
[Barrier option engines]
Finite-Differences Heston Barrier Option engine.
More...
#include <ql/experimental/finitedifferences/fdhestonbarrierengine.hpp>
Inheritance diagram for FdHestonBarrierEngine:

Public Member Functions | |
FdHestonBarrierEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, FdmBackwardSolver::FdmSchemeType type=FdmBackwardSolver::Hundsdorfer, Real theta=0.5+std::sqrt(3.0)/6, Real mu=0.5) | |
void | calculate () const |
Detailed Description
Finite-Differences Heston Barrier Option engine.
- Tests:
- the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black pricing.