QuantLib_FdHestonRebateEngine

Langue: en

Autres versions - même langue

Version: 382533 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::FdHestonRebateEngine -

Finite-Differences Heston Barrier Option rebate helper engine.

SYNOPSIS


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

Inherits GenericModelEngine< HestonModel, DividendBarrierOption::arguments, DividendBarrierOption::results >.

Public Member Functions


FdHestonRebateEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, FdmBackwardSolver::FdmSchemeType type=FdmBackwardSolver::Hundsdorfer, Real theta=0.5+std::sqrt(3.0)/6, Real mu=0.5)

void calculate () const

Detailed Description

Finite-Differences Heston Barrier Option rebate helper engine.

Author

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