26#ifndef quantlib_fd_black_scholes_barrier_engine_hpp
27#define quantlib_fd_black_scholes_barrier_engine_hpp
29#include <ql/processes/blackscholesprocess.hpp>
30#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
31#include <ql/instruments/dividendbarrieroption.hpp>
35 QL_DEPRECATED_DISABLE_WARNING
45 QL_DEPRECATED_ENABLE_WARNING
48 ext::shared_ptr<GeneralizedBlackScholesProcess> process,
51 Size dampingSteps = 0,
53 bool localVol =
false,
57 ext::shared_ptr<GeneralizedBlackScholesProcess> process,
61 Size dampingSteps = 0,
63 bool localVol =
false,
69 ext::shared_ptr<GeneralizedBlackScholesProcess>
process_;
Finite-differences Black/Scholes barrier-option engine.
Real illegalLocalVolOverwrite_
FdmSchemeDesc schemeDesc_
void calculate() const override
DividendSchedule dividends_
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
template class providing a null value for a given type.
std::size_t Size
size of a container
std::vector< ext::shared_ptr< Dividend > > DividendSchedule
static FdmSchemeDesc Douglas()