QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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local volatility linear operator for the Fokker-Planck forward equation More...
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
Go to the source code of this file.
Classes | |
class | FdmLocalVolFwdOp |
Namespaces | |
namespace | QuantLib |
local volatility linear operator for the Fokker-Planck forward equation
Definition in file fdmlocalvolfwdop.hpp.