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

Public Member Functions | |
FdBlackScholesBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size tGrid=100, Size xGrid=100) | |
void | calculate () const |
Detailed Description
Finite-Differences Black Scholes barrier option engine.
- Tests:
- the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black pricing.