Fd2dBlackScholesVanillaEngine Class Reference

Two dimensional finite-differences Black Scholes vanilla option engine. More...

#include <ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp>

Inheritance diagram for Fd2dBlackScholesVanillaEngine:

Public Member Functions

 Fd2dBlackScholesVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &p1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &p2, Real correlation, Size xGrid=100, Size yGrid=100, Size tGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())
 
void calculate () const
 

Additional Inherited Members

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

Detailed Description

Two dimensional finite-differences Black Scholes vanilla option engine.

Tests:
the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Kirk approximation.