PdeBSM Class Reference

#include <ql/methods/finitedifferences/pdebsm.hpp>

Inheritance diagram for PdeBSM:

Public Types
typedef ext::shared_ptr< GeneralizedBlackScholesProcess >	argument_type
typedef LogGrid	grid_type

Public Member Functions
	PdeBSM (argument_type process)
Real	diffusion (Time t, Real x) const override
Real	drift (Time t, Real x) const override
Real	discount (Time t, Real) const override
Public Member Functions inherited from PdeSecondOrderParabolic
virtual QL_DEPRECATED_DISABLE_WARNING void	generateOperator (Time t, const TransformedGrid &tg, TridiagonalOperator &L) const

Detailed Description

Deprecated

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

Member Function Documentation

diffusion()

Real diffusion ( Time t, Real x ) const

overridevirtual

Implements PdeSecondOrderParabolic.

drift()

Real drift ( Time t, Real x ) const

overridevirtual

Implements PdeSecondOrderParabolic.

discount()

Real discount ( Time t, Real  ) const

overridevirtual

Implements PdeSecondOrderParabolic.