FdBlackScholesRebateEngine

NAME

FdBlackScholesRebateEngine − Finite-Differences Black Scholes barrier option rebate helper engine.

SYNOPSIS

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

Inherits DividendBarrierOption::engine.

Public Member Functions

FdBlackScholesRebateEngine (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 rebate helper engine.

Author

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