QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
FdHestonDoubleBarrierEngine Class Reference

Finite-Differences Heston Double Barrier Option engine. More...

#include <ql/experimental/finitedifferences/fdhestondoublebarrierengine.hpp>

+ Inheritance diagram for FdHestonDoubleBarrierEngine:

Public Member Functions

 FdHestonDoubleBarrierEngine (const ext::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), const ext::shared_ptr< LocalVolTermStructure > &leverageFct=ext::shared_ptr< LocalVolTermStructure >(), Real mixingFactor=1.0)
 
void calculate () const
 
- Public Member Functions inherited from GenericModelEngine< HestonModel, DoubleBarrierOption::arguments, DoubleBarrierOption::results >
 GenericModelEngine (const Handle< HestonModel > &model=Handle< HestonModel >())
 
 GenericModelEngine (const ext::shared_ptr< HestonModel > &model)
 
- Public Member Functions inherited from GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from PricingEngine
virtual arguments * getArguments () const =0
 
virtual const results * getResults () const =0
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from GenericModelEngine< HestonModel, DoubleBarrierOption::arguments, DoubleBarrierOption::results >
Handle< HestonModelmodel_
 
- Protected Attributes inherited from GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results >
DoubleBarrierOption::arguments arguments_
 
DoubleBarrierOption::results results_
 

Detailed Description

Finite-Differences Heston Double Barrier Option engine.