FdBlackScholesBarrierEngine Class Reference

Finite-Differences Black Scholes barrier option engine. More...

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

Inheritance diagram for FdBlackScholesBarrierEngine:

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
 
- Public Member Functions inherited from GenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Additional Inherited Members

- Protected Attributes inherited from GenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results >
DividendBarrierOption::arguments arguments_
 
DividendBarrierOption::results results_
 

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.