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 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 &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
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_
 

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.