24#ifndef quantlib_fdm_simple_2d_bs_solver_hpp
25#define quantlib_fdm_simple_2d_bs_solver_hpp
27#include <ql/handle.hpp>
28#include <ql/patterns/lazyobject.hpp>
29#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
30#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
35 class GeneralizedBlackScholesProcess;
58 mutable ext::shared_ptr<Fdm2DimSolver>
solver_;
ext::shared_ptr< Fdm2DimSolver > solver_
void performCalculations() const override
Real deltaAt(Real s, Real a, Real eps) const
const FdmSolverDesc solverDesc_
Real thetaAt(Real s, Real a) const
Real gammaAt(Real s, Real a, Real eps) const
Real valueAt(Real s, Real a) const
Handle< GeneralizedBlackScholesProcess > process_
const FdmSchemeDesc schemeDesc_
Shared handle to an observable.
Framework for calculation on demand and result caching.
static FdmSchemeDesc Douglas()