QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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bsmtermoperator.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2005 Joseph Wang
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
20/*! \file bsmtermoperator.hpp
21 \brief differential operator for Black-Scholes-Merton equation
22*/
23
24#ifndef quantlib_bsm_term_operator_hpp
25#define quantlib_bsm_term_operator_hpp
26
31
32namespace QuantLib {
33
34 /*! \deprecated Use the new finite-differences framework instead.
35 Deprecated in version 1.32.
36 */
37 [[deprecated("Use the new finite-differences framework instead")]]
39}
40
41
42#endif
Black-Scholes processes.
Definition: any.hpp:35
PdeOperator< PdeBSM > BSMTermOperator
Black-Scholes-Merton PDE.
encapuslates a grid
tridiagonal operator