QuantLib_Fd2dBlackScholesVanillaEngine man page

Fd2dBlackScholesVanillaEngine — Two dimensional finite-differences Black Scholes vanilla option engine.

Synopsis

#include <ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp>

Inherits BasketOption::engine.

Public Member Functions

Fd2dBlackScholesVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &p1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &p2, Real correlation, Size xGrid=100, Size yGrid=100, Size tGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())

void calculate () const

Additional Inherited Members

Detailed Description

Two dimensional finite-differences Black Scholes vanilla option engine.

Tests

the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Kirk approximation.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

Fd2dBlackScholesVanillaEngine(3) is an alias of QuantLib_Fd2dBlackScholesVanillaEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib