26#ifndef quantlib_fd_heston_rebate_engine_hpp
27#define quantlib_fd_heston_rebate_engine_hpp
29#include <ql/models/equity/hestonmodel.hpp>
30#include <ql/pricingengines/genericmodelengine.hpp>
31#include <ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp>
32#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
33#include <ql/instruments/dividendbarrieroption.hpp>
34#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>
38 QL_DEPRECATED_DISABLE_WARNING
44 DividendBarrierOption::arguments,
45 DividendBarrierOption::results> {
46 QL_DEPRECATED_ENABLE_WARNING
49 const ext::shared_ptr<HestonModel>& model,
53 Size dampingSteps = 0,
55 ext::shared_ptr<LocalVolTermStructure> leverageFct = {},
56 Real mixingFactor = 1.0);
59 const ext::shared_ptr<HestonModel>& model,
64 Size dampingSteps = 0,
66 ext::shared_ptr<LocalVolTermStructure> leverageFct = {},
67 Real mixingFactor = 1.0);
Finite-differences Heston barrier-option rebate helper engine.
void calculate() const override
const ext::shared_ptr< LocalVolTermStructure > leverageFct_
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()