Fd2dBlackScholesVanillaEngine

NAME

Fd2dBlackScholesVanillaEngine − Two dimensional finite-differences Black Scholes vanilla option engine.

SYNOPSIS

#include <ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp>

Inherits BasketOption::engine.

Public Member Functions

Fd2dBlackScholesVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &p1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &p2, Real correlation, Size xGrid=100, Size yGrid=100, Size tGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), bool localVol=false, Real illegalLocalVolOverwrite=−Null< Real >())
void calculate () const

Additional Inherited Members

Detailed Description

Two dimensional finite-differences Black Scholes vanilla option engine.

Tests

the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Kirk approximation.

Author

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