BSMOperator Class Reference

#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 TridiagonalOperator &)=default
	TridiagonalOperator (TridiagonalOperator &&) noexcept
TridiagonalOperator &	operator= (const TridiagonalOperator &)
TridiagonalOperator &	operator= (TridiagonalOperator &&) noexcept
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 &) noexcept
Array	applyTo (const Array &v) const
	apply operator to a given array
Array	solveFor (const Array &rhs) const
	solve linear system for a given right-hand side
void	solveFor (const Array &rhs, Array &result) const
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 TridiagonalOperator	identity (Size size)
	identity instance
Size	n_
Array	diagonal_
Array	lowerDiagonal_
Array	upperDiagonal_
Array	temp_
ext::shared_ptr< TimeSetter >	timeSetter_

Detailed Description

Deprecated

Part of the old FD framework; copy this function in your codebase if needed. Deprecated in version 1.37.