bsmoperator.hpp

有很多的函数库

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2005 StatPro Italia srl

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 for financial quantitative analysts and developers - http://quantlib.org/

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 under the terms of the QuantLib license.  You should have received a
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*/

/*! \file bsmoperator.hpp
    \brief differential operator for Black-Scholes-Merton equation
*/

#ifndef quantlib_bsm_operator_hpp
#define quantlib_bsm_operator_hpp

#include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
#include <ql/processes/blackscholesprocess.hpp>

namespace QuantLib {

    //! Black-Scholes-Merton differential operator
    /*! \ingroup findiff */
    class BSMOperator : public TridiagonalOperator {
      public:
        BSMOperator();
        BSMOperator(Size size, Real dx, Rate r, Rate q, Volatility sigma);
        BSMOperator(const Array& grid,
                    const boost::shared_ptr<GeneralizedBlackScholesProcess>&,
                    Time residualTime);
    };

}


#endif