FiniteDifferenceModel Class Template Reference
[Finite-differences framework]

#include <ql/methods/finitedifferences/finitedifferencemodel.hpp>

List of all members.


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 than to.

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 than to.