- QuantLib
- FdBlackScholesRebateEngine
Finite-Differences Black Scholes barrier option rebate helper engine. More...
#include <ql/pricingengines/barrier/fdblackscholesrebateengine.hpp>
Public Member Functions | |
FdBlackScholesRebateEngine (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 |
Finite-Differences Black Scholes barrier option rebate helper engine.