FdBsmOption Class Reference

#include <fdbsmoption.hpp>

Inheritance diagram for FdBsmOption:

Inheritance graph
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List of all members.

Detailed Description

Black-Scholes-Merton option priced numerically.


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 ArraygetGrid () 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:

QuantLib.org
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