QuantLib_OperatorFactory (3) - Linux Man Pages

QuantLib_OperatorFactory: Black-Scholes-Merton differential operator.

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

Generated automatically by Doxygen for QuantLib from the source code.