QuantLib_FdBlackScholesRebateEngine (3) - Linux Manuals
QuantLib_FdBlackScholesRebateEngine: Finite-Differences Black Scholes barrier option rebate helper engine.
NAME
QuantLib::FdBlackScholesRebateEngine - Finite-Differences Black Scholes barrier option rebate helper engine.
SYNOPSIS
#include <ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp>
Inherits GenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results >.
Public Member Functions
FdBlackScholesRebateEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size tGrid=100, Size xGrid=100)
void calculate () const
Detailed Description
Finite-Differences Black Scholes barrier option rebate helper engine.
Author
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