24#ifndef quantlib_fd_bates_vanilla_engine_hpp
25#define quantlib_fd_bates_vanilla_engine_hpp
27#include <ql/models/equity/batesmodel.hpp>
28#include <ql/instruments/dividendvanillaoption.hpp>
29#include <ql/pricingengines/genericmodelengine.hpp>
30#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
34 QL_DEPRECATED_DISABLE_WARNING
40 DividendVanillaOption::arguments,
41 DividendVanillaOption::results> {
42 QL_DEPRECATED_ENABLE_WARNING
46 const ext::shared_ptr<BatesModel>& model,
48 Size vGrid = 50,
Size dampingSteps = 0,
52 const ext::shared_ptr<BatesModel>& model,
55 Size vGrid = 50,
Size dampingSteps = 0,
Partial integro finite-differences Bates vanilla option engine.
void calculate() const override
DividendSchedule dividends_
const FdmSchemeDesc schemeDesc_
Base class for some pricing engine on a particular model.
std::size_t Size
size of a container
std::vector< ext::shared_ptr< Dividend > > DividendSchedule
static FdmSchemeDesc Hundsdorfer()