DZero (3) - Linux Manuals

DZero: $ D_{0} $ matricial representation

NAME

QuantLib::DZero - $ D_{0} $ matricial representation

SYNOPSIS

#include <ql/methods/finitedifferences/dzero.hpp>

Inherits QuantLib::TridiagonalOperator.

Public Member Functions

DZero (Size gridPoints, Real h)

Detailed Description

$ D_{0} $ matricial representation

The differential operator $ D_{0} $ discretizes the first derivative with the second-order formula [ ac{
artial u_{i}}{
artial x} pprox ac{u_{i+1}-u_{i-1}}{2h} = D_{0} u_{i} ]

Tests

the correctness of the returned values is tested by checking them against numerical calculations.

Author

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