evolver (3) - Linux Manuals
evolver: 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 >
Generic finite difference model.
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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