Black-Scholes-Merton differential operator. More...
#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, Rate r, Rate q, Volatility sigma) | |
Public Member Functions inherited from TridiagonalOperator | |
| TridiagonalOperator (Size size=0) | |
| TridiagonalOperator (const Array &low, const Array &mid, const Array &high) | |
| TridiagonalOperator (const Disposable< TridiagonalOperator > &) | |
| TridiagonalOperator & | operator= (const Disposable< TridiagonalOperator > &) |
| Size | size () const |
| bool | isTimeDependent () const |
| const Array & | lowerDiagonal () const |
| const Array & | diagonal () const |
| const Array & | upperDiagonal () const |
| void | setFirstRow (Real, Real) |
| void | setMidRow (Size, Real, Real, Real) |
| void | setMidRows (Real, Real, Real) |
| void | setLastRow (Real, Real) |
| void | setTime (Time t) |
| void | swap (TridiagonalOperator &) |
| Disposable< Array > | applyTo (const Array &v) const |
| apply operator to a given array | |
| Disposable< Array > | solveFor (const Array &rhs) const |
| solve linear system for a given right-hand side | |
| void | solveFor (const Array &rhs, Array &result) const |
| Disposable< Array > | SOR (const Array &rhs, Real tol) const |
| solve linear system with SOR approach | |
Additional Inherited Members | |
Public Types inherited from TridiagonalOperator | |
| typedef Array | array_type |
Static Public Member Functions inherited from TridiagonalOperator | |
| static Disposable< TridiagonalOperator > | identity (Size size) |
| identity instance | |
Protected Attributes inherited from TridiagonalOperator | |
| Size | n_ |
| Array | diagonal_ |
| Array | lowerDiagonal_ |
| Array | upperDiagonal_ |
| Array | temp_ |
| ext::shared_ptr< TimeSetter > | timeSetter_ |
Black-Scholes-Merton differential operator.