FiniteDifferenceModel Class Template Reference
[Finite-differences framework]
#include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
Detailed Description
template<class Evolver>
class QuantLib::FiniteDifferenceModel< Evolver >
Generic finite difference model.
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 | ( | array_type & | a, | |
Time | from, | |||
Time | to, | |||
Size | steps | |||
) |
solves the problem between the given times.
- Warning:
- being this a rollback,
from
must be a later time thanto
.
void rollback | ( | array_type & | a, | |
Time | from, | |||
Time | to, | |||
Size | steps, | |||
const condition_type & | condition | |||
) |
solves the problem between the given times, applying a condition at every step.
- Warning:
- being this a rollback,
from
must be a later time thanto
.