FdBsmOption Class Reference#include <ql/Pricers/fdbsmoption.hpp>
Inheritance diagram for FdBsmOption:
[legend]List of all members.
Detailed Description
Black-Scholes-Merton option priced numerically.
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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 Array & | getGrid () 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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