QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
fdblackscholesbarrierengine.hpp File Reference

Finite-differences Black/Scholes barrier-option engine. More...

#include <ql/processes/blackscholesprocess.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/instruments/barrieroption.hpp>

Go to the source code of this file.

Classes

class  FdBlackScholesBarrierEngine
 Finite-differences Black/Scholes barrier-option engine. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

Finite-differences Black/Scholes barrier-option engine.

Definition in file fdblackscholesbarrierengine.hpp.