QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
Fd2dBlackScholesVanillaEngine Class Reference

Two dimensional finite-differences Black Scholes vanilla option engine. More...

#include <ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp>

+ Inheritance diagram for Fd2dBlackScholesVanillaEngine:

Public Member Functions

 Fd2dBlackScholesVanillaEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &p1, const ext::shared_ptr< GeneralizedBlackScholesProcess > &p2, Real correlation, Size xGrid=100, Size yGrid=100, Size tGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >())
 
void calculate () const
 
- Public Member Functions inherited from GenericEngine< BasketOption::arguments, BasketOption::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 GenericEngine< BasketOption::arguments, BasketOption::results >
BasketOption::arguments arguments_
 
BasketOption::results results_
 

Detailed Description

Two dimensional finite-differences Black Scholes vanilla option engine.

Tests:
the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Kirk approximation.