FdBlackScholesVanillaEngine Class Reference
[Vanilla option engines]
Finite-Differences Black Scholes vanilla option engine.
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#include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp>
Inheritance diagram for FdBlackScholesVanillaEngine:

Public Member Functions | |
FdBlackScholesVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Size tGrid=100, Size xGrid=100, Size dampingSteps=0, Real theta=0.5, bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >()) | |
void | calculate () const |
Detailed Description
Finite-Differences Black Scholes vanilla option engine.
- Tests:
- the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black pricing.