FdBlackScholesBarrierEngine

NAME

FdBlackScholesBarrierEngine − Finite-Differences Black Scholes barrier option engine.

SYNOPSIS

#include <ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp>

Inherits DividendBarrierOption::engine.

Public Member Functions

FdBlackScholesBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size tGrid=100, Size xGrid=100, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas(), bool localVol=false, Real illegalLocalVolOverwrite=−Null< Real >())
void calculate () const

Additional Inherited Members

Detailed Description

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.

Author

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