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QuantLib_FdHestonVanillaEngine
Langue: en
Version: 155306 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::FdHestonVanillaEngine - Finite-Differences Heston Vanilla Option engine.SYNOPSIS
#include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>
Inherits GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results >.
Public Member Functions
FdHestonVanillaEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=20)
void calculate () const
Detailed Description
Finite-Differences Heston Vanilla 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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