26#ifndef quantlib_fd_black_scholes_rebate_engine_hpp
27#define quantlib_fd_black_scholes_rebate_engine_hpp
40 ext::shared_ptr<GeneralizedBlackScholesProcess> process,
43 Size dampingSteps = 0,
45 bool localVol =
false,
49 ext::shared_ptr<GeneralizedBlackScholesProcess> process,
53 Size dampingSteps = 0,
55 bool localVol =
false,
61 ext::shared_ptr<GeneralizedBlackScholesProcess>
process_;
Barrier option on a single asset.
Barrier-option engine base class
Finite-differences Black/Scholes barrier-option rebate helper 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()