pde_barrier.cpp File Reference

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

Include dependency graph for pde_barrier.cpp:

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

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

Variable Documentation

dx

double dx

S

std::vector<double> S

V

std::vector<double> V

x_min

double x_min