FDShoutEngine< Scheme > − Finite-differences pricing engine for shout vanilla options.
#include <ql/pricingengines/vanilla/fdshoutengine.hpp>
Inherits FDEngineAdapter< base, engine >.
Public Member Functions
FDShoutEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)
template<template< class > class Scheme = CrankNicolson>
class QuantLib::FDShoutEngine< Scheme >" Finite-differences pricing engine for shout vanilla options.
Tests
the correctness of the returned greeks is tested by reproducing numerical derivatives.
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