Black-Scholes-Merton differential operator. More...

Inheritance diagram for BSMOperator:

Collaboration diagram for BSMOperator:

Public Member Functions
	BSMOperator ()=default

	BSMOperator (Size size, Real dx, Rate r, Rate q, Volatility sigma)

	BSMOperator (const Array &grid, Rate r, Rate q, Volatility sigma)

Public Member Functions inherited from TridiagonalOperator
	TridiagonalOperator (Size size=0)

	TridiagonalOperator (const Array &low, const Array &mid, const Array &high)

	TridiagonalOperator (const TridiagonalOperator &)=default

	TridiagonalOperator (TridiagonalOperator &&) noexcept

TridiagonalOperator &	operator= (const TridiagonalOperator &)

TridiagonalOperator &	operator= (TridiagonalOperator &&) noexcept

	~TridiagonalOperator ()=default

Size	size () const

bool	isTimeDependent () const

const Array &	lowerDiagonal () const

const Array &	diagonal () const

const Array &	upperDiagonal () const

void	setFirstRow (Real, Real)

void	setMidRow (Size, Real, Real, Real)

void	setMidRows (Real, Real, Real)

void	setLastRow (Real, Real)

void	setTime (Time t)

void	swap (TridiagonalOperator &) noexcept

Array	applyTo (const Array &v) const
	apply operator to a given array More...

Array	solveFor (const Array &rhs) const
	solve linear system for a given right-hand side More...

void	solveFor (const Array &rhs, Array &result) const

Array	SOR (const Array &rhs, Real tol) const
	solve linear system with SOR approach More...

Additional Inherited Members
Public Types inherited from TridiagonalOperator
typedef Array	array_type

Static Public Member Functions inherited from TridiagonalOperator
static TridiagonalOperator	identity (Size size)
	identity instance More...

Protected Attributes inherited from TridiagonalOperator
Size	n_

Array	diagonal_

Array	lowerDiagonal_

Array	upperDiagonal_

Array	temp_

ext::shared_ptr< TimeSetter >	timeSetter_

Detailed Description

Black-Scholes-Merton differential operator.

Definition at line 35 of file bsmoperator.hpp.

Constructor & Destructor Documentation

BSMOperator ( )

default

Definition at line 27 of file bsmoperator.cpp.

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Definition at line 38 of file bsmoperator.cpp.

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