org.jquantlib.methods.finitedifferences

Class BSMOperator

java.lang.Object

org.jquantlib.methods.finitedifferences.TridiagonalOperator

org.jquantlib.methods.finitedifferences.BSMOperator

All Implemented Interfaces:

Operator

public class BSMOperator
extends TridiagonalOperator

Nested Class Summary

Nested classes/interfaces inherited from class org.jquantlib.methods.finitedifferences.TridiagonalOperator

TridiagonalOperator.TimeSetter

Constructor Summary

Constructors

Constructor and Description
BSMOperator(Array grid, GeneralizedBlackScholesProcess process, double residualTime)
BSMOperator(int size, double dx, double r, double q, double sigma)

Method Summary

Methods inherited from class org.jquantlib.methods.finitedifferences.TridiagonalOperator

add, applyTo, diagonal, getTimeSetter, identity, isTimeDependent, lowerDiagonal, multiply, setFirstRow, setLastRow, setMidRow, setMidRows, setTime, size, solveFor, solveFor, subtract, swap, upperDiagonal

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

BSMOperator

public BSMOperator(int size,
                   double dx,
                   double r,
                   double q,
                   double sigma)

BSMOperator

public BSMOperator(Array grid,
                   GeneralizedBlackScholesProcess process,
                   double residualTime)