QuantLib_OperatorFactory (3) Linux Manual Page

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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