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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.hpp
\brief differential operator for Black-Scholes-Merton equation
\fullpath
ql/FiniteDifferences/%bsmoperator.hpp
*/
// $Id: bsmoperator.hpp,v 1.9 2002/01/16 14:43:25 nando Exp $
#ifndef quantlib_bsm_operator_h
#define quantlib_bsm_operator_h
#include <ql/FiniteDifferences/tridiagonaloperator.hpp>
namespace QuantLib {
namespace FiniteDifferences {
//! Black-Scholes-Merton differential operator
class BSMOperator : public TridiagonalOperator {
public:
BSMOperator() {}
BSMOperator(Size size,
double dx,
double r,
double q,
double sigma);
};
}
}
#endif
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