QuantLib_FdHestonRebateEngine (3) Linux Manual Page

QuantLib::FdHestonRebateEngine – Finite-Differences Heston Barrier Option rebate helper engine.

Synopsis

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

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

Public Member Functions

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

void calculate () const

Detailed Description

Finite-Differences Heston Barrier Option rebate helper engine.

Author

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