- QuantLib
- FdHestonBarrierEngine
Finite-Differences Heston Barrier Option engine. More...
#include <ql/pricingengines/barrier/fdhestonbarrierengine.hpp>
Public Member Functions | |
FdHestonBarrierEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer()) | |
void | calculate () const |