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Sourcecode: quantlib version File versions

finitedifferences Directory Reference


Files

file  all.hpp [code]
file  americancondition.hpp [code]
 american option exercise condition
file  boundarycondition.cpp [code]
file  boundarycondition.hpp [code]
 boundary conditions for differential operators
file  bsmoperator.cpp [code]
file  bsmoperator.hpp [code]
 differential operator for Black-Scholes-Merton equation
file  bsmtermoperator.hpp [code]
 differential operator for Black-Scholes-Merton equation
file  cranknicolson.hpp [code]
 Crank-Nicolson scheme for finite difference methods.
file  dminus.hpp [code]
 $ D_{-} $ matricial representation
file  dplus.hpp [code]
 $ D_{+} $ matricial representation
file  dplusdminus.hpp [code]
 $ D_{+}D_{-} $ matricial representation
file  dzero.hpp [code]
 $ D_{0} $ matricial representation
file  expliciteuler.hpp [code]
 explicit Euler scheme for finite difference methods
file  fdtypedefs.hpp [code]
 default choices for template instantiations
file  finitedifferencemodel.hpp [code]
 generic finite difference model
file  impliciteuler.hpp [code]
 implicit Euler scheme for finite difference methods
file  mixedscheme.hpp [code]
 Mixed (explicit/implicit) scheme for finite difference methods.
file  onefactoroperator.hpp [code]
 general differential operator for one-factor interest rate models
file  operatorfactory.hpp [code]
 Factory for finite difference operators.
file  operatortraits.hpp [code]
 Differential operator traits.
file  parallelevolver.hpp [code]
 Parallel evolver for multiple arrays.
file  pde.hpp [code]
 General class for one dimensional PDE's.
file  pdebsm.hpp [code]
 Black-Scholes-Merton PDE.
file  pdeshortrate.hpp [code]
 adapter to short rate
file  shoutcondition.hpp [code]
 shout option exercise condition
file  stepcondition.hpp [code]
 conditions to be applied at every time step
file  tridiagonaloperator.cpp [code]
file  tridiagonaloperator.hpp [code]
 tridiagonal operator
file  zerocondition.hpp [code]
 zero option exercise condition


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