BSMOperator Class Reference
[Finite-differences framework]
Black-Scholes-Merton differential operator.
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#include <ql/methods/finitedifferences/bsmoperator.hpp>
Inheritance diagram for BSMOperator:

Public Member Functions | |
BSMOperator (Size size, Real dx, Rate r, Rate q, Volatility sigma) | |
BSMOperator (const Array &grid, const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Time residualTime) |
Detailed Description
Black-Scholes-Merton differential operator.