OperatorFactory Class Reference

Black-Scholes-Merton differential operator. More...

#include <ql/methods/finitedifferences/operatorfactory.hpp>

List of all members.

Static Public Member Functions

static TridiagonalOperator getOperator (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const Array &grid, Time residualTime, bool timeDependent)
static TridiagonalOperator getOperator (const boost::shared_ptr< OneFactorModel::ShortRateDynamics > &process, const Array &grid)

Detailed Description

Black-Scholes-Merton differential operator.

Tests:
coefficients are tested against constant BSM operator