FdmBlackScholesMesher Class Reference

Inheritance diagram for FdmBlackScholesMesher:

Public Member Functions

FdmBlackScholesMesher (Size size, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Time maturity, Real strike, Real xMinConstraint=Null< Real >(), Real xMaxConstraint=Null< Real >(), Real eps=0.0001, Real scaleFactor=1.5, const std::vector< std::tuple< Real, Real, bool > > &cPoints={}, const DividendSchedule &dividendSchedule=DividendSchedule(), const ext::shared_ptr< FdmQuantoHelper > &fdmQuantoHelper=ext::shared_ptr< FdmQuantoHelper >(), Real spotAdjustment=0.0)

Static Public Member Functions
static ext::shared_ptr< GeneralizedBlackScholesProcess >	processHelper (const Handle< Quote > &s0, const Handle< YieldTermStructure > &rTS, const Handle< YieldTermStructure > &qTS, Volatility vol)