FiniteDifferenceModel (3) - Linux Manuals

FiniteDifferenceModel: Generic finite difference model.

NAME

QuantLib::FiniteDifferenceModel - Generic finite difference model.

SYNOPSIS

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

Public Types

typedef Evolver::traits traits

typedef traits::operator_type operator_type

typedef traits::array_type array_type

typedef traits::bc_set bc_set

typedef traits::condition_type condition_type

Public Member Functions

FiniteDifferenceModel (const operator_type &L, const bc_set &bcs, const std::vector< Time > &stoppingTimes=std::vector< Time >())

FiniteDifferenceModel (const Evolver &evolver, const std::vector< Time > &stoppingTimes=std::vector< Time >())

const Evolver & evolver () const

void rollback (array_type &a, Time from, Time to, Size steps)

void rollback (array_type &a, Time from, Time to, Size steps, const condition_type &condition)

Detailed Description

template<class Evolver> class QuantLib::FiniteDifferenceModel< Evolver >

Member Function Documentation

void rollback (array_type & a, Time from, Time to, Size steps)

solves the problem between the given times.

Warning

being this a rollback, from must be a later time than to.

void rollback (array_type & a, Time from, Time to, Size steps, const condition_type & condition)

solves the problem between the given times, applying a condition at every step.

Warning

being this a rollback, from must be a later time than to.

Author

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