QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
#include <pde.hpp>
Public Member Functions | |
virtual | ~PdeSecondOrderParabolic ()=default |
virtual Real | diffusion (Time t, Real x) const =0 |
virtual Real | drift (Time t, Real x) const =0 |
virtual Real | discount (Time t, Real x) const =0 |
virtual void | generateOperator (Time t, const TransformedGrid &tg, TridiagonalOperator &L) const |
|
virtualdefault |
Implemented in PdeBSM, and PdeConstantCoeff< PdeClass >.
Implemented in PdeBSM, and PdeConstantCoeff< PdeClass >.
Implemented in PdeBSM, and PdeConstantCoeff< PdeClass >.
|
virtual |