FdBlackScholesVanillaEngine (3) - Linux Manuals

FdBlackScholesVanillaEngine: Finite-Differences Black Scholes vanilla option engine.

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

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)

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

Generated automatically by Doxygen for QuantLib from the source code.