QuantLib_FdBlackScholesBarrierEngine (3) - Linux Manuals

QuantLib_FdBlackScholesBarrierEngine: Finite-Differences Black Scholes barrier option engine.

Command to display QuantLib_FdBlackScholesBarrierEngine manual in Linux: $ man 3 QuantLib_FdBlackScholesBarrierEngine

NAME

QuantLib::FdBlackScholesBarrierEngine - Finite-Differences Black Scholes barrier option engine.

SYNOPSIS

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

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

Public Member Functions

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

void calculate () const

Detailed Description

Finite-Differences Black Scholes barrier 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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