Finite-differences framework


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.


Classes

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

Typedefs

typedef PdeOperator< PdeBSM > BSMTermOperator
 Black-Scholes-Merton differential operator.
typedef PdeOperator< PdeShortRate > OneFactorOperator
 Interest-rate single factor model differential operator.


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.