FdBatesVanillaEngine

NAME

FdBatesVanillaEngine − Partial Integro FiniteDifferences Bates Vanilla Option engine.

SYNOPSIS

#include <ql/pricingengines/vanilla/fdbatesvanillaengine.hpp>

Inherits GenericModelEngine< BatesModel, DividendVanillaOption::arguments, DividendVanillaOption::results >.

Public Member Functions

FdBatesVanillaEngine (const boost::shared_ptr< BatesModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())
void calculate () const

Additional Inherited Members

Detailed Description

Partial Integro FiniteDifferences Bates Vanilla Option engine.

Author

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