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fdmblackscholesmultistrikemesher.cpp File Reference


Detailed Description

1-d mesher for the Black-Scholes process (in ln(S))

Definition in file fdmblackscholesmultistrikemesher.cpp.

#include <ql/processes/blackscholesprocess.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/experimental/finitedifferences/uniform1dmesher.hpp>
#include <ql/experimental/finitedifferences/concentrating1dmesher.hpp>
#include <ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.hpp>

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Namespaces

namespace  QuantLib


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