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QuantLib_OperatorFactory
Langue: en
Version: 383851 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::OperatorFactory -Black-Scholes-Merton differential operator.
SYNOPSIS
#include <ql/methods/finitedifferences/operatorfactory.hpp>
Static Public Member Functions
static TridiagonalOperator getOperator (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const Array &grid, Time residualTime, bool timeDependent)
static TridiagonalOperator getOperator (const boost::shared_ptr< OneFactorModel::ShortRateDynamics > &process, const Array &grid)
Detailed Description
Black-Scholes-Merton differential operator.
Tests
- coefficients are tested against constant BSM operator
Author
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Contenus ©2006-2024 Benjamin Poulain
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