pde_barrier.hpp File Reference

#include "quant/barrier.hpp"
#include "quant/pde.hpp"

Include dependency graph for pde_barrier.hpp:

This graph shows which files directly or indirectly include this file:

Go to the source code of this file.

Classes
struct	quant::pde::BarrierPdeGreeksResult
struct	quant::pde::BarrierPdeParams

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)