QuantLib_FdHestonDoubleBarrierEngine man page

FdHestonDoubleBarrierEngine — Finite-Differences Heston Double Barrier Option engine.

Synopsis

#include <ql/experimental/finitedifferences/fdhestondoublebarrierengine.hpp>

Inherits GenericModelEngine< HestonModel, DoubleBarrierOption::arguments, DoubleBarrierOption::results >.

Public Member Functions

FdHestonDoubleBarrierEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), const boost::shared_ptr< LocalVolTermStructure > &leverageFct=boost::shared_ptr< LocalVolTermStructure >())

void calculate () const

Additional Inherited Members

Detailed Description

Finite-Differences Heston Double Barrier Option engine.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

FdHestonDoubleBarrierEngine(3) is an alias of QuantLib_FdHestonDoubleBarrierEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib