Finite-differences framework

Classes

class  BoundaryCondition< Operator >
 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< Operator >
 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< Operator >
 Forward Euler scheme for finite difference methods More...
class  FiniteDifferenceModel< Evolver >
 Generic finite difference model. More...
class  ImplicitEuler< Operator >
 Backward Euler scheme for finite difference methods. More...
class  MixedScheme< Operator >
 Mixed (explicit/implicit) scheme for finite difference methods. More...
class  OperatorFactory
 Black-Scholes-Merton differential operator. More...
class  StepConditionSet< array_type >
 Parallel evolver for multiple arrays. More...
class  StepCondition< array_type >
 condition to be applied at every time step More...
class  NullCondition< array_type >
 null step condition More...
class  TRBDF2< Operator >
 TR-BDF2 scheme for finite difference methods. 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.