QuantLib 0.3.3 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Supported platforms Version history Todo list Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Namespace List Class Hierarchy Compound List File List Namespace Members Compound Members File Members Unstable Features Deprecated List

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   matricial representation More... class   DPlus   matricial representation More... class   DPlusDMinus   matricial representation More... class   DZero   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< Array >  StandardStepCondition   default choice for step condition Functions Disposable< TridiagonalOperator >  operator+ (const TridiagonalOperator &D) Disposable< TridiagonalOperator >  operator- (const TridiagonalOperator &D) Disposable< TridiagonalOperator >  operator+ (const TridiagonalOperator &D1, const TridiagonalOperator &D2) Disposable< TridiagonalOperator >  operator- (const TridiagonalOperator &D1, const TridiagonalOperator &D2) Disposable< TridiagonalOperator >  operator * (double a, const TridiagonalOperator &D) Disposable< TridiagonalOperator >  operator * (const TridiagonalOperator &D, double a) Disposable< TridiagonalOperator >  operator/ (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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