Low performance for finite difference pricing with localvol

Posted by DPaulino on
URL: http://quantlib.414.s1.nabble.com/Low-performance-for-finite-difference-pricing-with-localvol-tp17033.html

Hello,

I'm trying to write a code to price barrier options using local volaility.
After some digging through the code, I found the best way to do this using quantlib is probably using the FDBlackScholesBarrier engine with

barrierOption.setPricingEngine(new FdBlackScholesBarrierEngine(
                                generalizedBlackScholesProcess, timesteps, spotsteps,
                                0, FdmSchemeDesc.Douglas(), localvol));

However I see a very significant performance drop by setting  localvol=true, already significant at 100 grid points.

Is there a better way to do this? Is there a way to improve the performance here?