QuantLib_FdBlackScholesVanillaEngine

Langue: en

Autres versions - même langue

Version: 373737 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::FdBlackScholesVanillaEngine -

Finite-Differences Black Scholes vanilla option engine.

SYNOPSIS


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

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

Public Member Functions


FdBlackScholesVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, 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 vanilla 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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