QuantLib_DPlusDMinus (3) - Linux Manuals

QuantLib_DPlusDMinus: $ D_{+}D_{-} $ matricial representation

NAME

QuantLib::DPlusDMinus - $ D_{+}D_{-} $ matricial representation

SYNOPSIS

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

Inherits QuantLib::TridiagonalOperator.

Public Member Functions

DPlusDMinus (Size gridPoints, Real h)

Detailed Description

$ D_{+}D_{-} $ matricial representation

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

Tests

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

Author

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