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QuantLib::BSMOperator Class Reference

#include <bsmoperator.hpp>

Inheritance diagram for QuantLib::BSMOperator:

QuantLib::TridiagonalOperator

List of all members.


Detailed Description

Black-Scholes-Merton differential operator.

Definition at line 34 of file bsmoperator.hpp.


Operator interface

Disposable< ArrayapplyTo (const Array &v) const
 apply operator to a given array
Disposable< ArraysolveFor (const Array &rhs) const
 solve linear system for a given right-hand side
Disposable< ArraySOR (const Array &rhs, Real tol) const
 solve linear system with SOR approach
static Disposable
< TridiagonalOperator
identity (Size size)
 identity instance

Public Types

typedef Array array_type

Public Member Functions

 BSMOperator (const Array &grid, const boost::shared_ptr< BlackScholesProcess > &, Time residualTime)
 BSMOperator (Size size, Real dx, Rate r, Rate q, Volatility sigma)
Inspectors
const Arraydiagonal () const
bool isTimeDependent ()
const ArraylowerDiagonal () const
Size size () const
const ArrayupperDiagonal () const
Modifiers
void setFirstRow (Real, Real)
void setLastRow (Real, Real)
void setMidRow (Size, Real, Real, Real)
void setMidRows (Real, Real, Real)
void setTime (Time t)
Utilities
void swap (TridiagonalOperator &)

Protected Attributes

Array diagonal_
Array lowerDiagonal_
boost::shared_ptr< TimeSettertimeSetter_
Array upperDiagonal_

The documentation for this class was generated from the following files:

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