FdBlackScholesBarrierEngine (3) - Linux Manuals

FdBlackScholesBarrierEngine: Finite-Differences Black Scholes barrier option engine.

Command to display FdBlackScholesBarrierEngine manual in Linux: $ man 3 FdBlackScholesBarrierEngine

NAME

QuantLib::FdBlackScholesBarrierEngine - Finite-Differences Black Scholes barrier option engine.

SYNOPSIS

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

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

Public Member Functions

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

void calculate () const

Detailed Description

Finite-Differences Black Scholes barrier option engine.

Tests

: the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black pricing.

Author

Generated automatically by Doxygen for QuantLib from the source code.