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QuantLib_FdHestonBarrierEngine
Langue: en
Version: 374030 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::FdHestonBarrierEngine -Finite-Differences Heston Barrier Option engine.
SYNOPSIS
#include <ql/experimental/finitedifferences/fdhestonbarrierengine.hpp>
Inherits GenericModelEngine< HestonModel, DividendBarrierOption::arguments, DividendBarrierOption::results >.
Public Member Functions
FdHestonBarrierEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, FdmBackwardSolver::FdmSchemeType type=FdmBackwardSolver::Hundsdorfer, Real theta=0.5+std::sqrt(3.0)/6, Real mu=0.5)
void calculate () const
Detailed Description
Finite-Differences Heston 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
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