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QuantLib::FdHestonRebateEngine Class Reference

#include <fdhestonrebateengine.hpp>

Inheritance diagram for QuantLib::FdHestonRebateEngine:

QuantLib::GenericModelEngine< ModelType, ArgumentsType, ResultsType > QuantLib::GenericEngine< ArgumentsType, ResultsType > QuantLib::PricingEngine QuantLib::Observer QuantLib::Observable

List of all members.


Detailed Description

Finite-Differences Heston Barrier Option rebate helper engine.

Definition at line 41 of file fdhestonrebateengine.hpp.


Public Member Functions

void calculate () const
 FdHestonRebateEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, FdmBackwardSolver::FdmSchemeType type=FdmBackwardSolver::Hundsdorfer, Real theta=0.5+std::sqrt(3.0)/6, Real mu=0.5)
PricingEngine::arguments * getArguments () const
const PricingEngine::results * getResults () const
void notifyObservers ()
void registerWith (const boost::shared_ptr< Observable > &)
void reset ()
void unregisterWith (const boost::shared_ptr< Observable > &)
void update ()

Protected Attributes

ArgumentsType arguments_
Handle< ModelType > model_
ResultsType results_

Private Attributes

const Size dampingSteps_
const Real mu_
const Size tGrid_
const Real theta_
const
FdmBackwardSolver::FdmSchemeType 
type_
const Size vGrid_
const Size xGrid_

The documentation for this class was generated from the following files:

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