QuantLib_FdBlackScholesBarrierEngine man page

FdBlackScholesBarrierEngine — Finite-Differences Black Scholes barrier option engine.  

Synopsis

#include <ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp>

Inherits DividendBarrierOption::engine.

Public Member Functions

FdBlackScholesBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size tGrid=100, Size xGrid=100, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas(), bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >())
void calculate () const

Additional Inherited Members

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

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

FdBlackScholesBarrierEngine(3) is an alias of QuantLib_FdBlackScholesBarrierEngine(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib