QuantLib_FdHestonRebateEngine (3) - Linux Manuals
QuantLib_FdHestonRebateEngine: Finite-Differences Heston Barrier Option rebate helper engine.
NAME
QuantLib::FdHestonRebateEngine - Finite-Differences Heston Barrier Option rebate helper engine.
SYNOPSIS
#include <ql/experimental/finitedifferences/fdhestonrebateengine.hpp>
Inherits GenericModelEngine< HestonModel, DividendBarrierOption::arguments, DividendBarrierOption::results >.
Public Member Functions
FdHestonRebateEngine (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 rebate helper engine.
Author
Generated automatically by Doxygen for QuantLib from the source code.