24#ifndef quantlib_fd_heston_double_barrier_engine_hpp
25#define quantlib_fd_heston_double_barrier_engine_hpp
27#include <ql/instruments/doublebarrieroption.hpp>
28#include <ql/models/equity/hestonmodel.hpp>
29#include <ql/pricingengines/genericmodelengine.hpp>
30#include <ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp>
31#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
32#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>
44 DoubleBarrierOption::arguments,
45 DoubleBarrierOption::results> {
49 const ext::shared_ptr<HestonModel>& model,
53 Size dampingSteps = 0,
55 ext::shared_ptr<LocalVolTermStructure> leverageFct =
56 ext::shared_ptr<LocalVolTermStructure>(),
57 Real mixingFactor = 1.0);
Finite-Differences Heston Double Barrier Option engine.
void calculate() const override
const ext::shared_ptr< LocalVolTermStructure > leverageFct_
const FdmSchemeDesc schemeDesc_
Base class for some pricing engine on a particular model.
std::size_t Size
size of a container
static FdmSchemeDesc Hundsdorfer()