QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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fdmblackscholesmultistrikemesher.hpp
1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2009 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
24#ifndef quantlib_fdm_black_scholes_multi_strike_mesher_hpp
25#define quantlib_fdm_black_scholes_multi_strike_mesher_hpp
26
27#include <ql/instruments/dividendschedule.hpp>
28#include <ql/methods/finitedifferences/meshers/fdm1dmesher.hpp>
29#include <ql/handle.hpp>
30#include <ql/quote.hpp>
31
32namespace QuantLib {
33
34 class YieldTermStructure;
35 class GeneralizedBlackScholesProcess;
36
38 public:
40 Size size,
41 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
42 Time maturity, const std::vector<Real>& strikes,
43 Real eps = 0.0001,
44 Real scaleFactor = 1.5,
45 const std::pair<Real, Real>& cPoint
46 = (std::pair<Real, Real>(Null<Real>(), Null<Real>())));
47 };
48}
49#endif
template class providing a null value for a given type.
Definition: null.hpp:76
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35