- QuantLib
- FdHestonVanillaEngine
 
Finite-Differences Heston Vanilla Option engine. More...
#include <ql/pricingengines/vanilla/fdhestonvanillaengine.hpp>

| Public Member Functions | |
| FdHestonVanillaEngine (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 | 
| void | update () | 
| void | enableMultipleStrikesCaching (const std::vector< Real > &strikes) | 
| FdmSolverDesc | getSolverDesc (Real equityScaleFactor) const | 
Finite-Differences Heston Vanilla Option engine.
| void update | ( | ) |  [virtual] | 
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Reimplemented from GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results >.