FdBsmOption Class Reference

#include <ql/Pricers/fdbsmoption.hpp>

Inheritance diagram for FdBsmOption:

Inheritance graph
[legend]
List of all members.

Detailed Description

Black-Scholes-Merton option priced numerically.


Public Member Functions

 FdBsmOption (Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility, Size gridPoints)
virtual void calculate () const =0
Real value () const
Real delta () const
Real gamma () const
const ArraygetGrid () const

Protected Types

typedef BoundaryCondition<
TridiagonalOperator
BoundaryCondition

Protected Member Functions

virtual void setGridLimits (Real center, Real timeDelay) const
virtual void initializeGrid () const
virtual void initializeInitialCondition () const
virtual void initializeOperator () const

Protected Attributes

Size gridPoints_
Real value_
Real delta_
Real gamma_
Array grid_
BSMOperator finiteDifferenceOperator_
Array intrinsicValues_
std::vector< boost::shared_ptr<
BoundaryCondition > > 
BCs_
Real sMin_
Real center_
Real sMax_


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