QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | List of all members
FDShoutEngine< Scheme > Class Template Reference

Finite-differences pricing engine for shout vanilla options. More...

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

Inherits FDEngineAdapter< base, 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.