Finite-differences framework
Classes | |
| 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 | OperatorFactory |
| Black-Scholes-Merton differential operator. More... | |
| class | StepConditionSet |
| Parallel evolver for multiple arrays. More... | |
| class | StepCondition |
| condition to be applied at every time step More... | |
| class | NullCondition |
| null step condition More... | |
| class | TridiagonalOperator |
| Base implementation for tridiagonal operator. More... | |
Typedefs | |
| typedef PdeOperator< PdeBSM > | BSMTermOperator |
| Black-Scholes-Merton differential operator. | |
| typedef PdeOperator< PdeShortRate > | OneFactorOperator |
| Interest-rate single factor model differential operator. | |
Detailed Description
This framework (corresponding to the ql/FiniteDifferences directory) contains basic building blocks for the numerical solution of partial differential equations by means of finite-difference methods.Typedef Documentation
| typedef PdeOperator<PdeBSM> BSMTermOperator |
Black-Scholes-Merton differential operator.
- Tests:
- coefficients are tested against constant BSM operator
| typedef PdeOperator<PdeShortRate> OneFactorOperator |
Interest-rate single factor model differential operator.
matricial representation
matricial representation
matricial representation
matricial representation