grid_utils.hpp File Reference

#include <vector>
#include "quant/barrier.hpp"

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Classes
struct	quant::grid_utils::DiffusionCoefficients
struct	quant::grid_utils::OperatorWorkspace
struct	quant::grid_utils::PayoffBoundaryParams
struct	quant::grid_utils::SpaceGrid
struct	quant::grid_utils::StretchedGridParams

Namespaces
namespace	quant
	Barrier option primitives and configuration.
namespace	quant::grid_utils

Functions
void	quant::grid_utils::assemble_operator (const SpaceGrid &grid, const DiffusionCoefficients &coeffs, double dt, double theta, const std::vector< double > &v_curr, OperatorWorkspace &op)
SpaceGrid	quant::grid_utils::build_space_grid (const StretchedGridParams &params)
double	quant::grid_utils::dirichlet_boundary (const PayoffBoundaryParams &params, double spot, bool is_lower)
double	quant::grid_utils::stretch_map (double xi, double anchor, double stretch)