FdBlackScholesVanillaEngine Class Reference
[Vanilla option engines]

Finite-Differences Black Scholes vanilla option engine. More...

#include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp>

Inheritance diagram for FdBlackScholesVanillaEngine:

List of all members.

Public Member Functions

 FdBlackScholesVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Size tGrid=100, Size xGrid=100, Size dampingSteps=0, Real theta=0.5, bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >())
void calculate () const


Detailed Description

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 Black pricing.