Class OperatorFactory

Black-Scholes-Merton differential operator

test: coefficients are tested against constant BSM operator

Hierarchy

OperatorFactory

Index

Methods

getOperator1

Methods

Static getOperator1

getOperator1(process: GeneralizedBlackScholesProcess, grid: Real[], residualTime: Time, timeDependent: boolean): TridiagonalOperator

- Defined in ql/methods/finitedifferences/operatorfactory.ts:20
Parameters
- process: GeneralizedBlackScholesProcess
- grid: Real[]
- residualTime: Time
- timeDependent: boolean
Returns TridiagonalOperator