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QuantLib_BSMOperator
Langue: en
Version: 382466 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::BSMOperator -Black-Scholes-Merton differential operator.
SYNOPSIS
#include <ql/methods/finitedifferences/bsmoperator.hpp>
Inherits QuantLib::TridiagonalOperator.
Public Member Functions
BSMOperator (Size size, Real dx, Rate r, Rate q, Volatility sigma)
BSMOperator (const Array &grid, const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Time residualTime)
Detailed Description
Black-Scholes-Merton differential operator.
Author
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