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 |
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class | DPlus |
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class | DPlusDMinus |
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class | DZero |
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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.