QuantLib_FdBatesVanillaEngine man page

FdBatesVanillaEngine — Partial Integro FiniteDifferences Bates Vanilla Option engine.

Synopsis

#include <ql/pricingengines/vanilla/fdbatesvanillaengine.hpp>

Inherits GenericModelEngine< BatesModel, DividendVanillaOption::arguments, DividendVanillaOption::results >.

Public Member Functions

FdBatesVanillaEngine (const boost::shared_ptr< BatesModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())

void calculate () const

Additional Inherited Members

Detailed Description

Partial Integro FiniteDifferences Bates Vanilla Option engine.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

FdBatesVanillaEngine(3) is an alias of QuantLib_FdBatesVanillaEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib