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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005 Joseph Wang
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
<https://www.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 pdebsm.hpp
\brief Black-Scholes-Merton PDE
*/
#ifndef quantlib_pdebsm_hpp
#define quantlib_pdebsm_hpp
#include <ql/methods/finitedifferences/pde.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <utility>
namespace QuantLib {
QL_DEPRECATED_DISABLE_WARNING
/*! \deprecated Part of the old FD framework; copy this function
in your codebase if needed.
Deprecated in version 1.37.
*/
class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] PdeBSM : public PdeSecondOrderParabolic {
public:
typedef ext::shared_ptr<GeneralizedBlackScholesProcess> argument_type;
typedef LogGrid grid_type;
PdeBSM(argument_type process) : process_(std::move(process)){};
Real diffusion(Time t, Real x) const override { return process_->diffusion(t, x); }
Real drift(Time t, Real x) const override { return process_->drift(t, x); }
Real discount(Time t, Real) const override {
if (std::fabs(t) < 1e-8) t = 0;
return process_->riskFreeRate()->
forwardRate(t,t,Continuous,NoFrequency,true);
}
private:
const argument_type process_;
};
QL_DEPRECATED_ENABLE_WARNING
}
#endif
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