QuantLib_FdBlackScholesBarrierEngine (3) Linux Manual Page

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

Synopsis

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

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

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

void calculate () const

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.

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