quantlib.pricingengines.vanilla.vanilla.

FdHestonHullWhiteVanillaEngine

class FdHestonHullWhiteVanillaEngine(HestonModel heston_model, HullWhiteProcess hw_process, Real corr_equity_short_rate, Size t_grid=50, Size x_grid=100, Size v_grid=40, Size r_grid=20, Size damping_steps=0, bool control_variate=True, FdmSchemeDesc desc=FdmSchemeDesc.Hundsdorfer(), DividendSchedule dividends=None)

Bases: PricingEngine

Methods

enable_multiple_strikes_caching(self, strikes)