FdHestonBarrierEngine Class Reference
[Barrier option engines]

Finite-Differences Heston Barrier Option engine. More...

#include <ql/experimental/finitedifferences/fdhestonbarrierengine.hpp>

Inheritance diagram for FdHestonBarrierEngine:

List of all members.

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.