QuantLib: a free/open-source library for quantitative finance
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bsmoperator.hpp
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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
21/*! \file bsmoperator.hpp
22 \brief differential operator for Black-Scholes-Merton equation
23*/
24
25#ifndef quantlib_bsm_operator_hpp
26#define quantlib_bsm_operator_hpp
27
30
31namespace QuantLib {
32
33 //! Black-Scholes-Merton differential operator
34 /*! \ingroup findiff */
36 public:
37 BSMOperator() = default;
39 BSMOperator(const Array& grid, Rate r, Rate q, Volatility sigma);
40 };
41
42}
43
44
45#endif
Black-Scholes processes.
1-D array used in linear algebra.
Definition: array.hpp:52
Black-Scholes-Merton differential operator.
Definition: bsmoperator.hpp:35
Base implementation for tridiagonal operator.
QL_REAL Real
real number
Definition: types.hpp:50
Real Volatility
volatility
Definition: types.hpp:78
Real Rate
interest rates
Definition: types.hpp:70
std::size_t Size
size of a container
Definition: types.hpp:58
Real sigma
Definition: any.hpp:35
ext::shared_ptr< YieldTermStructure > q
ext::shared_ptr< YieldTermStructure > r
tridiagonal operator