- QuantLib
- FdHestonRebateEngine
Finite-Differences Heston Barrier Option rebate helper engine. More...
#include <ql/pricingengines/barrier/fdhestonrebateengine.hpp>

Public Member Functions | |
| FdHestonRebateEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer()) | |
| void | calculate () const |