QuantLib
: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
Loading...
Searching...
No Matches
ql
methods
finitedifferences
bsmoperator.hpp
1
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3
/*
4
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
5
Copyright (C) 2003, 2004, 2005 StatPro Italia srl
6
7
This file is part of QuantLib, a free-software/open-source library
8
for financial quantitative analysts and developers - http://quantlib.org/
9
10
QuantLib is free software: you can redistribute it and/or modify it
11
under the terms of the QuantLib license. You should have received a
12
copy of the license along with this program; if not, please email
13
<quantlib-dev@lists.sf.net>. The license is also available online at
14
<http://quantlib.org/license.shtml>.
15
16
This program is distributed in the hope that it will be useful, but WITHOUT
17
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18
FOR A PARTICULAR PURPOSE. See the license for more details.
19
*/
20
25
#ifndef quantlib_bsm_operator_hpp
26
#define quantlib_bsm_operator_hpp
27
28
#include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
29
#include <ql/processes/blackscholesprocess.hpp>
30
31
namespace
QuantLib
{
32
34
35
class
BSMOperator
:
public
TridiagonalOperator
{
36
public
:
37
BSMOperator
() =
default
;
38
BSMOperator
(
Size
size
,
Real
dx,
Rate
r,
Rate
q,
Volatility
sigma);
39
BSMOperator
(
const
Array
& grid,
Rate
r,
Rate
q,
Volatility
sigma);
40
};
41
42
}
43
44
45
#endif
QuantLib::Array
1-D array used in linear algebra.
Definition:
array.hpp:52
QuantLib::BSMOperator
Black-Scholes-Merton differential operator.
Definition:
bsmoperator.hpp:35
QuantLib::BSMOperator::BSMOperator
BSMOperator()=default
QuantLib::TridiagonalOperator
Base implementation for tridiagonal operator.
Definition:
tridiagonaloperator.hpp:42
QuantLib::TridiagonalOperator::size
Size size() const
Definition:
tridiagonaloperator.hpp:89
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib::Volatility
Real Volatility
volatility
Definition:
types.hpp:78
QuantLib::Rate
Real Rate
interest rates
Definition:
types.hpp:70
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
Generated by
Doxygen
1.9.5