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QuantLib_FdBlackScholesVanillaEngine
Langue: en
Version: 373737 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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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