fdmdupire1dop.hpp File Reference

Dupire local volatility pricing operator Note that time is reversed in order to make backward solvers work. More...

#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.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	FdmDupire1dOp

Namespaces
namespace	QuantLib

Detailed Description

Dupire local volatility pricing operator Note that time is reversed in order to make backward solvers work.

Definition in file fdmdupire1dop.hpp.