QuantLib_FdHestonVanillaEngine (3) - Linux Man Pages

QuantLib_FdHestonVanillaEngine: Finite-Differences Heston Vanilla Option engine.

NAME

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

SYNOPSIS


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

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

Public Member Functions


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

void calculate () const

Detailed Description

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.

Author

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