FDShoutEngine< Scheme > Class Template Reference
Finite-differences pricing engine for shout vanilla options. More...
#include <ql/pricingengines/vanilla/fdshoutengine.hpp>
Inherits QuantLib::FDEngineAdapter< FDShoutCondition< FDStepConditionEngine< Scheme > >, OneAssetOption::engine >.
Public Member Functions | |
FDShoutEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) |
Detailed Description
template<template< class > class Scheme = CrankNicolson>
class QuantLib::FDShoutEngine< Scheme >
Finite-differences pricing engine for shout vanilla options.
- Tests:
- the correctness of the returned greeks is tested by reproducing numerical derivatives.