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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005 StatPro Italia 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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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
*/
#ifndef quantlib_bsm_operator_hpp
#define quantlib_bsm_operator_hpp
#include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
#include <ql/processes/blackscholesprocess.hpp>
namespace QuantLib {
//! Black-Scholes-Merton differential operator
/*! \ingroup findiff */
class BSMOperator : public TridiagonalOperator {
public:
BSMOperator() = default;
BSMOperator(Size size, Real dx, Rate r, Rate q, Volatility sigma);
BSMOperator(const Array& grid, Rate r, Rate q, Volatility sigma);
};
}
#endif
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