class xf::fintech::fdbslv

#include "xf_fintech_fdbslv.hpp"

Overview

This class implements the Finite Difference Black Scholes Local Volatility Model.

class fdbslv: public xf::fintech::OCLController

Inherited Members

Methods

run

int run (
    std::vector <float>& xGrid,
    std::vector <float>& tGrid,
    std::vector <float>& sigma,
    std::vector <float>& rate,
    std::vector <float>& initial_conditions,
    float theta,
    float boundary_lower,
    float boundary_upper,
    std::vector <float>& solution
    )

Calculate the pricing grid based on the input data

TODO