- QuantLib
- FdBatesVanillaEngine
Partial Integro FiniteDifferences Bates Vanilla Option engine. More...
#include <ql/pricingengines/vanilla/fdbatesvanillaengine.hpp>
Public Member Functions | |
FdBatesVanillaEngine (const boost::shared_ptr< BatesModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer()) | |
void | calculate () const |
Partial Integro FiniteDifferences Bates Vanilla Option engine.