OperatorFactory Class Reference
Black-Scholes-Merton differential operator. More...
#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