ql/FiniteDifferences/bsmtermoperator.hpp File Reference


Detailed Description

differential operator for Black-Scholes-Merton equation

#include <ql/FiniteDifferences/tridiagonaloperator.hpp>
#include <ql/Processes/blackscholesprocess.hpp>
#include <ql/Math/transformedgrid.hpp>
#include <ql/FiniteDifferences/pdebsm.hpp>

Include dependency graph for bsmtermoperator.hpp:


Namespaces

namespace  QuantLib

Typedefs

typedef PdeOperator< PdeBSM > BSMTermOperator
 Black-Scholes-Merton differential operator.