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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file bsmoperator.cpp
\brief differential operator for Black-Scholes-Merton equation
\fullpath
FiniteDifferences/%bsmoperator.cpp
*/
// $Id: bsmoperator.cpp,v 1.9 2002/01/16 14:43:25 nando Exp $
#include <ql/FiniteDifferences/bsmoperator.hpp>
namespace QuantLib {
namespace FiniteDifferences {
BSMOperator::BSMOperator(Size size, double dx, double r,
double q, double sigma)
: TridiagonalOperator(size) {
double sigma2 = sigma*sigma;
double nu = r-q-sigma2/2;
double pd = -(sigma2/dx-nu)/(2*dx);
double pu = -(sigma2/dx+nu)/(2*dx);
double pm = sigma2/(dx*dx)+r;
setMidRows(pd,pm,pu);
}
}
}
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