Posted by
Klaus Spanderen-2 on
URL: http://quantlib.414.s1.nabble.com/Quantlib-Finite-Difference-2-dimension-tp16334p16336.html
Hi
E.g. the test BasketOptionTest::testEuroTwoValues is using a two dimensional
finite difference model via the pricing engine Fd2dBlackScholesVanillaEngine,
The test suite FdHestonTest belong to the same category.
regards
Klaus
On Friday, March 06, 2015 04:31:50 PM Pushpendu Chakraborty wrote:
> How can I implement 2 dimension finite difference model in Quantlib ? Test
> code showed equity option with one dimension only I believe.
>
> I would like to specify initial and boundary conditions and use Crank
> Nicholson for linear algebra part .
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