Re: FDM Boundary Conditions in QuantLib
Posted by
Ralph Schreyer-3 on
Apr 23, 2014; 11:19am
URL: http://quantlib.414.s1.nabble.com/FDM-Boundary-Conditions-in-QuantLib-tp15185p15188.html
Hi,
if the boundary conditions specified in the corresponding engine are empty, generic boundary conditions are chosen, i.e. the second derivative vanishes. And for the vanilla this is good enough, see ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp
For the example you mentioned (the barrier engine), Dirichlet boundary conditions are specified, see ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp
Cheers
Ralph
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