pde.hpp File Reference

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

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Classes
struct	quant::pde::GridSpec
	Grid specification for PDE solver. More...
struct	quant::pde::PdeParams
	PDE pricing parameters and grid configuration. More...
struct	quant::pde::PdeResult

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)