FdHestonRebateEngine Class Reference
[Barrier option engines]
Finite-Differences Heston Barrier Option rebate helper engine.
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#include <ql/experimental/finitedifferences/fdhestonrebateengine.hpp>
Inheritance diagram for FdHestonRebateEngine:

Public Member Functions | |
FdHestonRebateEngine (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 |