QuantLib_FdBlackScholesRebateEngine

Langue: en

Autres versions - même langue

Version: 159149 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

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

SYNOPSIS


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

Inherits GenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results >.

Public Member Functions


FdBlackScholesRebateEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size tGrid=100, Size xGrid=100)

void calculate () const

Detailed Description

Finite-Differences Black Scholes barrier option rebate helper engine.

Author

Generated automatically by Doxygen for QuantLib from the source code.