QuantLib_FdBlackScholesBarrierEngine

Langue: en

Autres versions - même langue

Version: 374557 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::FdBlackScholesBarrierEngine -

Finite-Differences Black Scholes barrier option engine.

SYNOPSIS


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

Inherits GenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results >.

Public Member Functions


FdBlackScholesBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size tGrid=100, Size xGrid=100, Size dampingSteps=0, Real theta=0.5, 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.

Author

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