FDShoutEngine Class Template Reference
[Vanilla option engines]
Finite-differences pricing engine for shout vanilla options.
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#include <ql/pricingengines/vanilla/fdshoutengine.hpp>
Inherits QuantLib::FDEngineAdapter< QuantLib::FDShoutCondition< QuantLib::FDStepConditionEngine< Scheme > >, QuantLib::OneAssetOption::engine >.
Public Member Functions | |
FDShoutEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) |
Detailed Description
template<template< class > class Scheme = CrankNicolson>
class QuantLib::FDShoutEngine< Scheme >
Finite-differences pricing engine for shout vanilla options.
- Tests:
- the correctness of the returned greeks is tested by reproducing numerical derivatives.