Fd2dBlackScholesVanillaEngine Class Reference
Two dimensional finite-differences Black Scholes vanilla option engine. More...
#include <ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp>
Inheritance diagram for Fd2dBlackScholesVanillaEngine:

Public Member Functions | |
Fd2dBlackScholesVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &p1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &p2, Real correlation, Size xGrid=100, Size yGrid=100, Size tGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer()) | |
void | calculate () const |
Detailed Description
Two dimensional 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 Kirk approximation.