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QuantLib_FdHestonRebateEngine
Langue: en
Version: 169803 (fedora - 06/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::FdHestonRebateEngine - Finite-Differences Heston Barrier Option rebate helper engine.SYNOPSIS
#include <ql/experimental/finitedifferences/fdhestonrebateengine.hpp>
Inherits GenericModelEngine< HestonModel, DividendBarrierOption::arguments, DividendBarrierOption::results >.
Public Member Functions
FdHestonRebateEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=20)
void calculate () const
Detailed Description
Finite-Differences Heston Barrier Option rebate helper engine.
Author
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