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Public Member Functions | Static Public Member Functions | Protected Attributes

QuantLib::FdmBlackScholesMesher Class Reference

Inheritance diagram for QuantLib::FdmBlackScholesMesher:
Inheritance graph
Collaboration diagram for QuantLib::FdmBlackScholesMesher:
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List of all members.

Public Member Functions

Real dminus (Size index) const
Real dplus (Size index) const
 FdmBlackScholesMesher (Size size, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Time maturity, Real strike, Real xMinConstraint=Null< Real >(), Real xMaxConstraint=Null< Real >(), Real eps=0.0001, Real scaleFactor=1.5, const std::pair< Real, Real > &cPoint=(std::pair< Real, Real >(Null< Real >(), Null< Real >())))
Real location (Size index) const
const std::vector< Real > & locations () const

Static Public Member Functions

static boost::shared_ptr
< GeneralizedBlackScholesProcess
processHelper (const Handle< Quote > &s0, const Handle< YieldTermStructure > &rTS, const Handle< YieldTermStructure > &qTS, Volatility vol)

Protected Attributes

std::vector< Realdminus_
std::vector< Realdplus_
std::vector< Reallocations_

Detailed Description

Definition at line 37 of file fdmblackscholesmesher.hpp.

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

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