FdHestonRebateEngine Class Reference

Finite-Differences Heston Barrier Option rebate helper engine. More...

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

Inheritance diagram for FdHestonRebateEngine:

Public Member Functions

 FdHestonRebateEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())
 
void calculate () const
 
- Public Member Functions inherited from GenericModelEngine< HestonModel, DividendBarrierOption::arguments, DividendBarrierOption::results >
 GenericModelEngine (const Handle< HestonModel > &model=Handle< HestonModel >())
 
 GenericModelEngine (const boost::shared_ptr< HestonModel > &model)
 
- 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 GenericModelEngine< HestonModel, DividendBarrierOption::arguments, DividendBarrierOption::results >
Handle< HestonModelmodel_
 

Detailed Description

Finite-Differences Heston Barrier Option rebate helper engine.