pde.cpp File Reference

#include "quant/pde.hpp"
#include "quant/black_scholes.hpp"
#include "quant/grid_utils.hpp"
#include <algorithm>
#include <cmath>
#include <limits>
#include <stdexcept>

Include dependency graph for pde.cpp:

Namespaces
namespace	quant
	Barrier option primitives and configuration.
namespace	quant::pde
	Finite-difference PDE pricer (Crank–Nicolson) for European options.

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

Variable Documentation

delta

double delta

gamma

double gamma

value

double value