FdBatesVanillaEngine Class Reference

Partial Integro FiniteDifferences Bates Vanilla Option engine. More...

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

Inheritance diagram for FdBatesVanillaEngine:

List of all members.

Public Member Functions

 FdBatesVanillaEngine (const boost::shared_ptr< BatesModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())
void calculate () const

Detailed Description

Partial Integro FiniteDifferences Bates Vanilla Option engine.