QuantLib_FdHestonBarrierEngine (3) Linux Manual Page

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

Synopsis

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

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

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

void calculate () const

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.

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