FTQuant  0.1
Public Member Functions | List of all members
BlackScholes Class Reference

Implements the Black-Scholes model. More...

#include <BlackSholes.hpp>

Public Member Functions

 BlackScholes ()
 
 BlackScholes (double r, double sigma)
 
std::vector< std::vector< double > > generate_paths (int n_paths, int steps, double T, double spot, bool antithetic=true)
 
void calibrate (std::vector< double > &stock_prices)
 
std::vector< std::vector< double > > pde_pricer (double r, double sigma, double T, std::function< double(double)> payoff, double S_max, double S_min, int M, int N)
 

Detailed Description

Implements the Black-Scholes model.

Definition at line 32 of file BlackSholes.hpp.

Constructor & Destructor Documentation

◆ BlackScholes() [1/2]

BlackScholes::BlackScholes ( )
inline

Definition at line 38 of file BlackSholes.hpp.

◆ BlackScholes() [2/2]

BlackScholes::BlackScholes ( double  r,
double  sigma 
)
inline

Definition at line 40 of file BlackSholes.hpp.

Member Function Documentation

◆ calibrate()

void BlackScholes::calibrate ( std::vector< double > &  stock_prices)

Definition at line 59 of file BlackSholes.cpp.

Referenced by Execution::execute().

◆ generate_paths()

std::vector< std::vector< double > > BlackScholes::generate_paths ( int  n_paths,
int  steps,
double  T,
double  spot,
bool  antithetic = true 
)

Definition at line 7 of file BlackSholes.cpp.

Referenced by Execution::execute().

◆ pde_pricer()

std::vector< std::vector< double > > BlackScholes::pde_pricer ( double  r,
double  sigma,
double  T,
std::function< double(double)>  payoff,
double  S_max,
double  S_min,
int  M,
int  N 
)

Definition at line 71 of file BlackSholes.cpp.

References thomas_algorithm().

The documentation for this class was generated from the following files:
Generated by doxygen 1.9.1