FdHestonBarrierEngine (3) - Linux Manuals

FdHestonBarrierEngine: Finite-Differences Heston Barrier Option engine.

NAME

QuantLib::FdHestonBarrierEngine - Finite-Differences Heston Barrier Option engine.

SYNOPSIS

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

Inherits GenericModelEngine< HestonModel, DividendBarrierOption::arguments, DividendBarrierOption::results >.

Public Member Functions

FdHestonBarrierEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=20)

void calculate () const

Detailed Description

Finite-Differences Heston 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

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