org.jquantlib.methods.finitedifferences

Class BSMTermOperator

java.lang.Object

org.jquantlib.methods.finitedifferences.TridiagonalOperator

org.jquantlib.methods.finitedifferences.PdeOperator<PdeBSM>

org.jquantlib.methods.finitedifferences.BSMTermOperator

All Implemented Interfaces:

Operator

public class BSMTermOperator
extends PdeOperator<PdeBSM>

Nested Class Summary

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

TridiagonalOperator.TimeSetter

Constructor Summary

Constructors

Constructor and Description
BSMTermOperator(Array grid, GeneralizedBlackScholesProcess process, double residualTime)

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

BSMTermOperator

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