NAME

Finite-differences framework -

Classes


class BoundaryCondition< Operator >
Abstract boundary condition class for finite difference problems.
class NeumannBC
Neumann boundary condition (i.e., constant derivative).
class DirichletBC
Neumann boundary condition (i.e., constant value).
class BSMOperator
Black-Scholes-Merton differential operator.
class CrankNicolson< Operator >
Crank-Nicolson scheme for finite difference methods.
class DMinus
$ D_{-} $ matricial representation
class DPlus
$ D_{+} $ matricial representation
class DPlusDMinus
$ D_{+}D_{-} $ matricial representation
class DZero
$ D_{0} $ matricial representation
class ExplicitEuler< Operator >
Forward Euler scheme for finite difference methods
class FiniteDifferenceModel< Evolver >
Generic finite difference model.
class ImplicitEuler< Operator >
Backward Euler scheme for finite difference methods.
class MixedScheme< Operator >
Mixed (explicit/implicit) scheme for finite difference methods.
class OperatorFactory
Black-Scholes-Merton differential operator.
class StepConditionSet< array_type >
Parallel evolver for multiple arrays.
class StepCondition< array_type >
condition to be applied at every time step
class NullCondition< array_type >
null step condition
class TridiagonalOperator
Base implementation for tridiagonal operator.

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.

Author

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