FdHestonVanillaEngine Class Reference
[Vanilla option engines]

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

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

Inheritance diagram for FdHestonVanillaEngine:

List of all members.

Public Member Functions

 FdHestonVanillaEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=20)
void calculate () const


Detailed Description

Finite-Differences Heston Vanilla Option engine.

Tests:
the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black pricing.