PartialDiffEqPricer< T > Class Template Reference

A controller for derivatives pricing via a PDE solution. More...

#include <ftqlib.hpp>

Public Member Functions
	PartialDiffEqPricer (T model)
double	calculate_price (const std::function< double(double)> &payoff, double absolute_error)

Detailed Description

template<typename T>
class PartialDiffEqPricer< T >

A controller for derivatives pricing via a PDE solution.

Deprecated:

This class is deprecated and will be removed in the future.

Definition at line 137 of file ftqlib.hpp.

Constructor & Destructor Documentation

PartialDiffEqPricer()

template<typename T >

PartialDiffEqPricer< T >::PartialDiffEqPricer ( T  model )

inline

Definition at line 142 of file ftqlib.hpp.

Member Function Documentation

calculate_price()

template<typename T >

double PartialDiffEqPricer< T >::calculate_price	(	const std::function< double(double)> &	payoff,
		double	absolute_error
	)

Definition at line 12 of file PartialDiffEq.cpp.

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The documentation for this class was generated from the following files:

• /home/runner/work/FTQuant/FTQuant/include/ftqlib.hpp
• /home/runner/work/FTQuant/FTQuant/ftqlib/PartialDiffEq.cpp