OptionPDE/pde.h at master · happyVicky/OptionPDE · GitHub

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#ifndef __PDE_H
#define __PDE_H

#include "option.h"

// Convection Diffusion Equation - Second-order PDE
class ConvectionDiffusionPDE {
	public:
		// PDE coefficients
		virtual double diff_coeff(double t, double x) const = 0;
		virtual double conv_coeff(double t, double x) const = 0;
		virtual double zero_coeff(double t, double x) const = 0;
		virtual double source_coeff(double t, double x) const = 0;

		// Boundary and initial conditions
		virtual double boundary_left(double t, double x) const = 0;
		virtual double boundary_right(double t, double x) const = 0;
		virtual double init_cond(double x) const = 0;
};

class BlackScholesPDE : public ConvectionDiffusionPDE {
	public:
		VanillaOption* option;
		BlackScholesPDE(VanillaOption* _option);
		virtual ~BlackScholesPDE() {};

		double diff_coeff(double t, double x) const;
		double conv_coeff(double t, double x) const;
		double zero_coeff(double t, double x) const;
		double source_coeff(double t, double x) const;

		double boundary_left(double t, double x) const;
		double boundary_right(double t, double x) const;
		double init_cond(double x) const;
};


#endif