QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
methods
finitedifferences
bsmtermoperator.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) 2005 Joseph Wang
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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 bsmtermoperator.hpp
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\brief differential operator for Black-Scholes-Merton equation
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*/
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#ifndef quantlib_bsm_term_operator_hpp
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#define quantlib_bsm_term_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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#include <
ql/math/transformedgrid.hpp
>
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#include <
ql/methods/finitedifferences/pdebsm.hpp
>
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namespace
QuantLib
{
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/*! \deprecated Use the new finite-differences framework instead.
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Deprecated in version 1.32.
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*/
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[[deprecated(
"Use the new finite-differences framework instead"
)]]
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typedef
PdeOperator<PdeBSM>
BSMTermOperator
;
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}
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#endif
blackscholesprocess.hpp
Black-Scholes processes.
QuantLib::PdeOperator
Definition:
pde.hpp:90
QuantLib
Definition:
any.hpp:35
QuantLib::BSMTermOperator
PdeOperator< PdeBSM > BSMTermOperator
Definition:
bsmtermoperator.hpp:38
pdebsm.hpp
Black-Scholes-Merton PDE.
transformedgrid.hpp
encapuslates a grid
tridiagonaloperator.hpp
tridiagonal operator
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