FdHestonDoubleBarrierEngine − Finite-Differences Heston Double Barrier Option engine.
#include <ql/experimental/finitedifferences/fdhestondoublebarrierengine.hpp>
Inherits GenericModelEngine< HestonModel, DoubleBarrierOption::arguments, DoubleBarrierOption::results >.
Public Member Functions
FdHestonDoubleBarrierEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), const boost::shared_ptr< LocalVolTermStructure > &leverageFct=boost::shared_ptr< LocalVolTermStructure >())
void calculate () const
Additional Inherited Members
Finite-Differences Heston Double Barrier Option engine.
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