QuantLib 0.3.6
User manual
Introduction to QuantLib
QuantLib components
Reference manual
FdBsmOption Class Reference
#include <ql/Pricers/fdbsmoption.hpp>
Inheritance diagram for FdBsmOption:
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 Array & | getGrid () const |
Protected Types | |
|
typedef BoundaryCondition< 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_ |
| BSMOperator | finiteDifferenceOperator_ |
| Array | intrinsicValues_ |
| std::vector< Handle< BoundaryCondition > > | BCs_ |
| double | sMin_ |
| double | center_ |
| double | sMax_ |
