FdBlackScholesRebateEngine (3) - Linux Manuals

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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