QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | List of all members
PdeSecondOrderParabolic Class Referenceabstract

#include <pde.hpp>

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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
 

Detailed Description

Definition at line 32 of file pde.hpp.

Constructor & Destructor Documentation

◆ ~PdeSecondOrderParabolic()

virtual ~PdeSecondOrderParabolic ( )
virtualdefault

Member Function Documentation

◆ diffusion()

virtual Real diffusion ( Time  t,
Real  x 
) const
pure virtual

Implemented in PdeBSM, and PdeConstantCoeff< PdeClass >.

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◆ drift()

virtual Real drift ( Time  t,
Real  x 
) const
pure virtual

Implemented in PdeBSM, and PdeConstantCoeff< PdeClass >.

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◆ discount()

virtual Real discount ( Time  t,
Real  x 
) const
pure virtual

Implemented in PdeBSM, and PdeConstantCoeff< PdeClass >.

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◆ generateOperator()

virtual void generateOperator ( Time  t,
const TransformedGrid tg,
TridiagonalOperator L 
) const
virtual

Definition at line 39 of file pde.hpp.

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