ql/FiniteDifferences/valueatcenter.hpp File Reference
Detailed Description
compute value, first, and second derivatives at grid center
#include <ql/Math/array.hpp>
Include dependency graph for valueatcenter.hpp:
Function Documentation
Real valueAtCenter |
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const Array & |
a |
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mid-point value
- Todo:
- replace with a more general (not "centered") function: valueAt(Real spot, const Array& a);
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Real firstDerivativeAtCenter |
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const Array & |
a, |
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const Array & |
grid |
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mid-point first derivative
- Todo:
- replace with a more general (not "centered") function: firstDerivativeAt(Real spot, const Array& a, const Array& grid);
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Real secondDerivativeAtCenter |
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const Array & |
a, |
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const Array & |
grid |
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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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