QuantLib_FdBlackScholesRebateEngine man page

FdBlackScholesRebateEngine — Finite-Differences Black Scholes barrier option rebate helper engine.

Synopsis

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

Inherits DividendBarrierOption::engine.

Public Member Functions

FdBlackScholesRebateEngine (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 rebate helper engine.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

FdBlackScholesRebateEngine(3) is an alias of QuantLib_FdBlackScholesRebateEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib