FdHestonVanillaEngine (3) Linux Manual Page

QuantLib::FdHestonVanillaEngine – Finite-Differences Heston Vanilla Option engine.

Synopsis

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

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

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

void calculate () const

Finite-Differences Heston Vanilla Option engine.

Tests

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

Generated automatically by Doxygen for QuantLib from the source code.