QuantLib::FiniteDifferences Namespace Reference


Detailed Description

Finite difference framework.

See sect. The finite differences framework


Compounds

class  AmericanCondition
class  BoundaryCondition
 Abstract boundary condition class for finite difference problems. More...

class  NeumannBC
 Neumann boundary condition (i.e., constant derivative). More...

class  DirichletBC
 Neumann boundary condition (i.e., constant value). More...

class  BSMOperator
 Black-Scholes-Merton differential operator. More...

class  CrankNicolson
 Crank-Nicolson scheme for finite difference methods. More...

class  DMinus
 $ D_{-} $ matricial representation More...

class  DPlus
 $ D_{+} $ matricial representation More...

class  DPlusDMinus
 $ D_{+}D_{-} $ matricial representation More...

class  DZero
 $ D_{0} $ matricial representation More...

class  ExplicitEuler
 Forward Euler scheme for finite difference methods. More...

class  FiniteDifferenceModel
 Generic finite difference model. More...

class  ImplicitEuler
 Backward Euler scheme for finite difference methods. More...

class  MixedScheme
 Mixed (explicit/implicit) scheme for finite difference methods. More...

class  OneFactorOperator
 Interest-rate single factor model differential operator. More...

class  ShoutCondition
 Shout option condition. More...

class  StepCondition
 condition to be applied at every time step More...

class  TridiagonalOperator
 Base implementation for tridiagonal operator. More...

class  TridiagonalOperator.TimeSetter
 encapsulation of time-setting logic More...


Typedefs

typedef FiniteDifferenceModel<
CrankNicolson< TridiagonalOperator > > 
StandardFiniteDifferenceModel
 default choice for finite-difference model

typedef StepCondition< ArrayStandardStepCondition
 default choice for step condition


Functions

Disposable< TridiagonalOperatoroperator+ (const TridiagonalOperator &D)
Disposable< TridiagonalOperatoroperator- (const TridiagonalOperator &D)
Disposable< TridiagonalOperatoroperator+ (const TridiagonalOperator &D1, const TridiagonalOperator &D2)
Disposable< TridiagonalOperatoroperator- (const TridiagonalOperator &D1, const TridiagonalOperator &D2)
Disposable< TridiagonalOperatoroperator * (double a, const TridiagonalOperator &D)
Disposable< TridiagonalOperatoroperator * (const TridiagonalOperator &D, double a)
Disposable< TridiagonalOperatoroperator/ (const TridiagonalOperator &D, double a)
double valueAtCenter (const Array &a)
 mid-point value

double firstDerivativeAtCenter (const Array &a, const Array &g)
 mid-point first derivative

double secondDerivativeAtCenter (const Array &a, const Array &g)
 mid-point second derivative


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