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Sourcecode: quantlib version File versions

bsmtermoperator.hpp File Reference


Detailed Description

differential operator for Black-Scholes-Merton equation

Definition in file bsmtermoperator.hpp.

#include <ql/FiniteDifferences/tridiagonaloperator.hpp>
#include <ql/Processes/blackscholesprocess.hpp>
#include <ql/Math/transformedgrid.hpp>
#include <ql/FiniteDifferences/pdebsm.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Typedefs

typedef PdeOperator< PdeBSM > QuantLib::BSMTermOperator
 Black-Scholes-Merton differential operator.


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