QuantLib: BSMOperator Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

Public Member Functions | List of all members
BSMOperator Class Reference
Finite-differences framework

Black-Scholes-Merton differential operator. More...

`#include <ql/methods/finitedifferences/bsmoperator.hpp>`

Inheritance diagram for BSMOperator:
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## 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)
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_
boost::shared_ptr< TimeSetter > | timeSetter_

## Detailed Description

Black-Scholes-Merton differential operator.