/usr/include/ql/methods/finitedifferences/pdebsm.hpp is in libquantlib0-dev 1.4-2.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005 Joseph Wang
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file pdebsm.hpp
\brief Black-Scholes-Merton PDE
*/
#ifndef quantlib_pdebsm_hpp
#define quantlib_pdebsm_hpp
#include <ql/methods/finitedifferences/pde.hpp>
#include <ql/processes/blackscholesprocess.hpp>
namespace QuantLib {
class PdeBSM : public PdeSecondOrderParabolic {
public:
typedef boost::shared_ptr<GeneralizedBlackScholesProcess>
argument_type;
typedef LogGrid grid_type;
PdeBSM(const argument_type & process) : process_(process) {};
virtual Real diffusion(Time t, Real x) const {
return process_->diffusion(t, x);
}
virtual Real drift(Time t, Real x) const {
return process_->drift(t, x);
}
virtual Real discount(Time t, Real) const {
if (std::fabs(t) < 1e-8) t = 0;
return process_->riskFreeRate()->
forwardRate(t,t,Continuous,NoFrequency,true);
}
private:
const argument_type process_;
};
}
#endif
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