Finite-difference PDE pricer (Crank–Nicolson) for European options. More...

Classes
struct	BarrierPdeGreeksResult

struct	BarrierPdeParams

struct	GridSpec
	Grid specification for PDE solver. More...

struct	PdeParams
	PDE pricing parameters and grid configuration. More...

struct	PdeResult

Functions
double	price_barrier_crank_nicolson (const BarrierPdeParams &params, ::quant::OptionType opt)

BarrierPdeGreeksResult	price_barrier_crank_nicolson_greeks (const BarrierPdeParams &params, ::quant::OptionType opt)

PdeResult	price_crank_nicolson (const PdeParams &p)

std::vector< double >	solve_tridiagonal (const std::vector< double > &a, const std::vector< double > &b, const std::vector< double > &c, const std::vector< double > &d)

Detailed Description

Finite-difference PDE pricer (Crank–Nicolson) for European options.

Function Documentation

◆ price_barrier_crank_nicolson()

double quant::pde::price_barrier_crank_nicolson	(	const BarrierPdeParams &	params,
		::quant::OptionType	opt
	)

◆ price_barrier_crank_nicolson_greeks()

BarrierPdeGreeksResult quant::pde::price_barrier_crank_nicolson_greeks	(	const BarrierPdeParams &	params,
		::quant::OptionType	opt
	)

◆ price_crank_nicolson()

PdeResult quant::pde::price_crank_nicolson ( const PdeParams & p )

Price European option via Crank–Nicolson (S-space or log-space). Boundary conditions: Dirichlet at S=0, Dirichlet or Neumann at Smax.

◆ solve_tridiagonal()

std::vector< double > quant::pde::solve_tridiagonal	(	const std::vector< double > &	a,
		const std::vector< double > &	b,
		const std::vector< double > &	c,
		const std::vector< double > &	d
	)

Solve tridiagonal system Ax = d with Thomas algorithm. a: sub-diagonal (size n-1), b: main diagonal (size n), c: super-diagonal (size n-1) d: RHS (size n). Returns x of size n.