ql/FiniteDifferences/valueatcenter.hpp File Reference


Detailed Description

compute value, first, and second derivatives at grid center

#include <ql/Math/array.hpp>

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Namespaces

namespace  QuantLib

Functions

Real valueAtCenter (const Array &a)
Real firstDerivativeAtCenter (const Array &a, const Array &grid)
Real secondDerivativeAtCenter (const Array &a, const Array &grid)

Function Documentation

Real valueAtCenter const Array &  a  ) 
 

mid-point value

Todo:
replace with a more general (not "centered") function: valueAt(Real spot, const Array& a);

Real firstDerivativeAtCenter const Array &  a,
const Array &  grid
 

mid-point first derivative

Todo:
replace with a more general (not "centered") function: firstDerivativeAt(Real spot, const Array& a, const Array& grid);

Real secondDerivativeAtCenter const Array &  a,
const Array &  grid
 

mid-point second derivative

Todo:
replace with a more general (not "centered") function: secondDerivativeAt(Real spot, const Array& a, const Array& grid);


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