FiniteDifferenceModel Class Template Reference

#include <finitedifferencemodel.hpp>

List of all members.


Detailed Description

template<class Evolver>
class QuantLib::FiniteDifferences::FiniteDifferenceModel< Evolver >

Generic finite difference model.

See sect. The finite differences framework


Public Types

typedef Evolver::arrayType arrayType
typedef Evolver::operatorType operatorType
typedef BoundaryCondition<
operatorType > 
bcType

Public Member Functions

 FiniteDifferenceModel (const operatorType &L, const std::vector< Handle< bcType > > &bcs, const std::vector< Time > &stoppingTimes=std::vector< Time >())
 FiniteDifferenceModel (const Evolver &evolver, const std::vector< Time > &stoppingTimes=std::vector< Time >())
void rollback (arrayType &a, Time from, Time to, Size steps, const Handle< StepCondition< arrayType > > &condition=Handle< StepCondition< arrayType > >())
const Evolver & evolver () const


Member Function Documentation

void rollback arrayType &  a,
Time  from,
Time  to,
Size  steps,
const Handle< StepCondition< arrayType > > &  condition = Handle< StepCondition< arrayType > >()
 

solves the problem between the given times, possibly applying a condition at every step.

Warning:
being this a rollback, from must be a later time than to.


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

QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen