PdeBSM Class Reference

#include <pdebsm.hpp>

Inheritance diagram for PdeBSM:

Collaboration diagram for PdeBSM:

Public Types
typedef ext::shared_ptr< GeneralizedBlackScholesProcess >	argument_type
typedef LogGrid	grid_type

Public Member Functions
	PdeBSM (argument_type process)
Real	diffusion (Time t, Real x) const override
Real	drift (Time t, Real x) const override
Real	discount (Time t, Real) const override
Public Member Functions inherited from PdeSecondOrderParabolic
virtual	~PdeSecondOrderParabolic ()=default
virtual Real	diffusion (Time t, Real x) const =0
virtual Real	drift (Time t, Real x) const =0
virtual Real	discount (Time t, Real x) const =0
virtual void	generateOperator (Time t, const TransformedGrid &tg, TridiagonalOperator &L) const

Private Attributes
const argument_type	process_

Detailed Description

Definition at line 33 of file pdebsm.hpp.

Member Typedef Documentation

argument_type

typedef ext::shared_ptr<GeneralizedBlackScholesProcess> argument_type

Definition at line 36 of file pdebsm.hpp.

grid_type

typedef LogGrid grid_type

Definition at line 37 of file pdebsm.hpp.

Constructor & Destructor Documentation

PdeBSM()

PdeBSM

(

argument_type

process

)

Definition at line 38 of file pdebsm.hpp.

Member Function Documentation

diffusion()

Real diffusion ( Time  t, Real  x  ) const

overridevirtual

Implements PdeSecondOrderParabolic.

Definition at line 39 of file pdebsm.hpp.

drift()

Real drift ( Time  t, Real  x  ) const

overridevirtual

Implements PdeSecondOrderParabolic.

Definition at line 40 of file pdebsm.hpp.

discount()

Real discount ( Time  t, Real    ) const

overridevirtual

Implements PdeSecondOrderParabolic.

Definition at line 41 of file pdebsm.hpp.

Member Data Documentation

process_

const argument_type process_

private

Definition at line 48 of file pdebsm.hpp.