FdBlackScholesRebateEngine Class Reference
[Barrier option engines]
Finite-Differences Black Scholes barrier option rebate helper engine.
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#include <ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp>
Inheritance diagram for FdBlackScholesRebateEngine:

Public Member Functions | |
FdBlackScholesRebateEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size tGrid=100, Size xGrid=100) | |
void | calculate () const |