FdBsmOption Class Reference#include <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, double underlying, double strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, double volatility, Size gridPoints) |
virtual void | calculate () const=0 |
double | value () const |
double | delta () const |
double | gamma () const |
const Array & | getGrid () const |
Protected Types |
typedef FiniteDifferences::BoundaryCondition<
FiniteDifferences::TridiagonalOperator > | BoundaryCondition |
Protected Member Functions |
virtual void | setGridLimits (double center, double timeDelay) const |
virtual void | initializeGrid () const |
virtual void | initializeInitialCondition () const |
virtual void | initializeOperator () const |
Protected Attributes |
Size | gridPoints_ |
double | value_ |
double | delta_ |
double | gamma_ |
Array | grid_ |
FiniteDifferences::BSMOperator | finiteDifferenceOperator_ |
Array | intrinsicValues_ |
std::vector< Handle< BoundaryCondition > > | BCs_ |
double | sMin_ |
double | center_ |
double | sMax_ |
The documentation for this class was generated from the following files:
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