26#ifndef quantlib_fd_black_scholes_rebate_engine_hpp
27#define quantlib_fd_black_scholes_rebate_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
40 QL_DEPRECATED_ENABLE_WARNING
43 ext::shared_ptr<GeneralizedBlackScholesProcess> process,
46 Size dampingSteps = 0,
48 bool localVol =
false,
52 ext::shared_ptr<GeneralizedBlackScholesProcess> process,
56 Size dampingSteps = 0,
58 bool localVol =
false,
64 ext::shared_ptr<GeneralizedBlackScholesProcess>
process_;
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()