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 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 |
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 Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Additional Inherited Members | |
Protected Attributes inherited from GenericEngine< BasketOption::arguments, BasketOption::results > | |
| BasketOption::arguments | arguments_ |
| BasketOption::results | results_ |
Two dimensional finite-differences Black Scholes vanilla option engine.