QuantLib_FdBlackScholesVanillaEngine (3) Linux Manual Page

QuantLib::FdBlackScholesVanillaEngine – Finite-Differences Black Scholes vanilla option engine.

Synopsis

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

Inherits GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results >.

FdBlackScholesVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Size tGrid=100, Size xGrid=100)

void calculate () const

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.

Generated automatically by Doxygen for QuantLib from the source code.