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fdmblackscholesmesher.cpp File Reference

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

#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/fdmblackscholesmesher.hpp>
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namespace  QuantLib

Detailed Description

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

Definition in file fdmblackscholesmesher.cpp.


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