1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
5 Copyright (C) 2003, 2004, 2005 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file bsmoperator.hpp
22 \brief differential operator for Black-Scholes-Merton equation
23*/
24
25#ifndef quantlib_bsm_operator_hpp
26#define quantlib_bsm_operator_hpp
27
28#include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
29#include <ql/processes/blackscholesprocess.hpp>
30
31namespace QuantLib {
32
33 //! Black-Scholes-Merton differential operator
34 /*! \ingroup findiff */
35 class BSMOperator : public TridiagonalOperator {
36 public:
37 BSMOperator() = default;
38 BSMOperator(Size size, Real dx, Rate r, Rate q, Volatility sigma);
39 BSMOperator(const Array& grid, Rate r, Rate q, Volatility sigma);
40 };
41
42}
43
44
45#endif
46

source code of quantlib/ql/methods/finitedifferences/bsmoperator.hpp