FdBlackScholesBarrierEngine Class Reference
Finite-Differences Black Scholes barrier option engine. More...
#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, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas(), bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >()) | |
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.