QuantLib_OperatorFactory man page
OperatorFactory — Black-Scholes-Merton differential operator.
Synopsis
#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
Author
Generated automatically by Doxygen for QuantLib from the source code.
Referenced By
The man page getOperator(3) is an alias of QuantLib_OperatorFactory(3).
Wed Feb 7 2018 Version 1.10.1 QuantLib