QuantLib_FdBlackScholesRebateEngine

Langue: en

Autres versions - même langue

Version: 377192 (fedora - 01/12/10)

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, Size dampingSteps=0, Real theta=0.5, bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >())

void calculate () const

Detailed Description

Finite-Differences Black Scholes barrier option rebate helper engine.

Author

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