QuantLib: OperatorFactory Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

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

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

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

## Static Public Member Functions
static TridiagonalOperator | getOperator (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const Array &grid, Time residualTime, bool timeDependent)
static TridiagonalOperator | getOperator (const boost::shared_ptr< OneFactorModel::ShortRateDynamics > &process, const Array &grid)

## Detailed Description

Black-Scholes-Merton differential operator.

Tests:
  coefficients are tested against constant BSM operator