FdBlackScholesBarrierEngine Class Reference

Finite-Differences Black Scholes barrier option engine. More...

#include <ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp>

Inheritance diagram for FdBlackScholesBarrierEngine:

List of all members.

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.