FdBlackScholesVanillaEngine Class Reference

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

#include <ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp>

Public Types
enum	CashDividendModel { Spot = CashDividendEuropeanEngine::Spot , Escrowed = CashDividendEuropeanEngine::Escrowed }

Public Member Functions
	FdBlackScholesVanillaEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >, Size tGrid=100, Size xGrid=100, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas(), bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >(), CashDividendModel cashDividendModel=Spot)
	FdBlackScholesVanillaEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >, DividendSchedule dividends, Size tGrid=100, Size xGrid=100, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas(), bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >(), CashDividendModel cashDividendModel=Spot)
	FdBlackScholesVanillaEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >, ext::shared_ptr< FdmQuantoHelper > quantoHelper, Size tGrid=100, Size xGrid=100, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas(), bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >(), CashDividendModel cashDividendModel=Spot)
	FdBlackScholesVanillaEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >, DividendSchedule dividends, ext::shared_ptr< FdmQuantoHelper > quantoHelper, Size tGrid=100, Size xGrid=100, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas(), bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >(), CashDividendModel cashDividendModel=Spot)
void	calculate () const override

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.