- QuantLib
- BSMOperator
Black-Scholes-Merton differential operator. More...
#include <ql/methods/finitedifferences/bsmoperator.hpp>
Public Member Functions | |
BSMOperator (Size size, Real dx, Rate r, Rate q, Volatility sigma) | |
BSMOperator (const Array &grid, const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Time residualTime) |
Black-Scholes-Merton differential operator.