org.jquantlib.methods.finitedifferences

Class PdeBSM

java.lang.Object

org.jquantlib.methods.finitedifferences.PdeSecondOrderParabolic

org.jquantlib.methods.finitedifferences.PdeBSM

All Implemented Interfaces:

Pde

public class PdeBSM
extends PdeSecondOrderParabolic

Black Scholes Merton PDE

Constructor Summary

Constructors

Constructor and Description
PdeBSM(GeneralizedBlackScholesProcess process)

Method Summary

Modifier and Type	Method and Description
TransformedGrid	applyGridType(Array grid)
double	diffusion(double t, double x)
double	discount(double t, double x)
double	drift(double t, double x)

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

generateOperator

Methods inherited from class java.lang.Object

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

Constructor Detail

PdeBSM

public PdeBSM(GeneralizedBlackScholesProcess process)

Method Detail

diffusion

public double diffusion(double t,
                        double x)

discount

public double discount(double t,
                       double x)

drift

public double drift(double t,
                    double x)

applyGridType

public TransformedGrid applyGridType(Array grid)

Overrides:

applyGridType in class PdeSecondOrderParabolic