Overview

Finite difference method for option pricing based on Implementing Derivative Models Les Clewlow, Chris Strickland.

Builds

git clone https://github.com/i05nagai/FiniteDifferences.git
cd FiniteDifferences
git submodule init
git submnodule update

Build static lib libfd.a

mkdir build
cd build
cmake ..
make

Build main.cpp as an executable fd_test

mkdir build
cd build
cmake .. -DFD_BUILD_TEST=ON 
make
./fd_test