FdmBlackScholesOp Class Reference

Inheritance diagram for FdmBlackScholesOp:

Public Member Functions
	FdmBlackScholesOp (const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Real strike=Null< Real >(), bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >(), Size direction=0, const ext::shared_ptr< FdmQuantoHelper > &quantoHelper=ext::shared_ptr< FdmQuantoHelper >(), const bool discounting=true, const bool ensureNonNegativeForwardVariance=false)
Size	size () const override
void	setTime (Time t1, Time t2) override
Array	apply (const Array &r) const override
Array	apply_mixed (const Array &r) const override
Array	apply_direction (Size direction, const Array &r) const override
Array	solve_splitting (Size direction, const Array &r, Real s) const override
Array	preconditioner (const Array &r, Real s) const override
std::vector< QuantLib::SparseMatrix >	toMatrixDecomp () const override