- QuantLib
- Fd2dBlackScholesVanillaEngine
Two dimensional finite-differences Black Scholes vanilla option engine. More...
#include <ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp>
Public Member Functions | |
Fd2dBlackScholesVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &p1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &p2, Real correlation, Size xGrid=100, Size yGrid=100, Size tGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer()) | |
void | calculate () const |
Two dimensional finite-differences Black Scholes vanilla option engine.