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Sourcecode: quantlib version File versions  Download package

fdmblackscholesop.hpp File Reference


Detailed Description

Black Scholes linear operator.

Definition in file fdmblackscholesop.hpp.

#include <ql/payoff.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/experimental/finitedifferences/firstderivativeop.hpp>
#include <ql/experimental/finitedifferences/triplebandlinearop.hpp>
#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::FdmBlackScholesOp


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