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. |