fdmblackscholesmesher.cpp File Reference

1-d mesher for the Black-Scholes process (in ln(S)) More...

#include <qle/methods/fdmblackscholesmesher.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp>
#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
#include <ql/methods/finitedifferences/utilities/fdmquantohelper.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/termstructures/yield/quantotermstructure.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>

Go to the source code of this file.

Namespaces
namespace	QuantExt

Detailed Description

1-d mesher for the Black-Scholes process (in ln(S))

Definition in file fdmblackscholesmesher.cpp.