QuantLib 0.3.11
Getting started
Reference manual
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#include <ql/FiniteDifferences/finitedifferencemodel.hpp>
List of all members.
Detailed Description
template<class Evolver>
class QuantLib::FiniteDifferenceModel< Evolver >
Generic finite difference model.
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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) |
Member Function Documentation
void rollback |
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array_type & |
a, |
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Time |
from, |
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Time |
to, |
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Size |
steps |
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solves the problem between the given times. - Warning:
- being this a rollback,
from must be a later time than to .
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void rollback |
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array_type & |
a, |
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Time |
from, |
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Time |
to, |
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Size |
steps, |
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const condition_type & |
condition |
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) |
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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 .
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