QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
methods
finitedifferences
bsmoperator.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
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Copyright (C) 2003, 2004, 2005 StatPro Italia srl
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file bsmoperator.hpp
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\brief differential operator for Black-Scholes-Merton equation
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*/
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#ifndef quantlib_bsm_operator_hpp
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#define quantlib_bsm_operator_hpp
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#include <
ql/methods/finitedifferences/tridiagonaloperator.hpp
>
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#include <
ql/processes/blackscholesprocess.hpp
>
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namespace
QuantLib
{
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//! Black-Scholes-Merton differential operator
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/*! \ingroup findiff */
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class
BSMOperator
:
public
TridiagonalOperator
{
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public
:
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BSMOperator
() =
default
;
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BSMOperator
(
Size
size
,
Real
dx,
Rate
r
,
Rate
q
,
Volatility
sigma
);
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BSMOperator
(
const
Array
& grid,
Rate
r
,
Rate
q
,
Volatility
sigma
);
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};
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}
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#endif
blackscholesprocess.hpp
Black-Scholes processes.
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
sigma
Real sigma
Definition:
hestonrndcalculator.cpp:36
QuantLib
Definition:
any.hpp:35
q
ext::shared_ptr< YieldTermStructure > q
Definition:
perturbativebarrieroptionengine.cpp:1464
r
ext::shared_ptr< YieldTermStructure > r
Definition:
perturbativebarrieroptionengine.cpp:1454
tridiagonaloperator.hpp
tridiagonal operator
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