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finitedifferences Directory Reference

Directory dependency graph for QuantLib-0.9.9/ql/experimental/finitedifferences/:
QuantLib-0.9.9/ql/experimental/finitedifferences/

Files

file  all.hpp [code]
file  bicgstab.cpp [code]
 

bi-conjugated gradient stableized algorithm


file  bicgstab.hpp [code]
 

bi-conjugated gradient stableized algorithm


file  concentrating1dmesher.cpp [code]
 

One-dimensional grid mesher concentrating around critical points.


file  concentrating1dmesher.hpp [code]
 

One-dimensional grid mesher concentrating around critical points.


file  craigsneydscheme.cpp [code]
file  craigsneydscheme.hpp [code]
 

Craig-Sneyd operator splitting.


file  dividendbarrieroption.cpp [code]
file  dividendbarrieroption.hpp [code]
 

Barrier option on a single asset with discrete dividends.


file  douglasscheme.cpp [code]
file  douglasscheme.hpp [code]
 

Douglas operator splitting.


file  expliciteulerscheme.cpp [code]
file  expliciteulerscheme.hpp [code]
 

explicit-Euler scheme


file  fdblackscholesasianengine.cpp [code]
file  fdblackscholesasianengine.hpp [code]
 

Finite-Differences Black Scholes arithmentic asian option engine.


file  fdblackscholesbarrierengine.cpp [code]
file  fdblackscholesbarrierengine.hpp [code]
 

Finite-Differences Black Scholes barrier option engine.


file  fdblackscholesrebateengine.cpp [code]
file  fdblackscholesrebateengine.hpp [code]
 

Finite-Differences Black Scholes barrier option rebate helper engine.


file  fdblackscholesvanillaengine.cpp [code]
file  fdblackscholesvanillaengine.hpp [code]
 

Finite-Differences Black Scholes vanilla option engine.


file  fdhestonbarrierengine.cpp [code]
file  fdhestonbarrierengine.hpp [code]
 

Finite-Differences Heston barrier option engine.


file  fdhestonhullwhitevanillaengine.cpp [code]
file  fdhestonhullwhitevanillaengine.hpp [code]
 

Finite-Differences Heston Hull-White vanilla option engine.


file  fdhestonrebateengine.cpp [code]
file  fdhestonrebateengine.hpp [code]
 

Finite-Differences Heston barrier option rebate helper engine.


file  fdhestonvanillaengine.cpp [code]
file  fdhestonvanillaengine.hpp [code]
 

Finite-Differences Heston vanilla option engine.


file  fdm1dmesher.hpp [code]
 

One-dimensional simple FDM mesher object working on an index.


file  fdmamericanstepcondition.cpp [code]
file  fdmamericanstepcondition.hpp [code]
 

american step condition for multi dimensional problems


file  fdmarithmeticaveragecondition.cpp [code]
 

step condition to handle arithmetic average


file  fdmarithmeticaveragecondition.hpp [code]
 

step condition to handle arithmetic average


file  fdmbackwardsolver.cpp [code]
file  fdmbackwardsolver.hpp [code]
file  fdmblackscholesmesher.cpp [code]
 

1-d mesher for the Black-Scholes process (in ln(S))


file  fdmblackscholesmesher.hpp [code]
 

1-d mesher for the Black-Scholes process (in ln(S))


file  fdmblackscholesmultistrikemesher.cpp [code]
 

1-d mesher for the Black-Scholes process (in ln(S))


file  fdmblackscholesmultistrikemesher.hpp [code]
 

1-d mesher for the Black-Scholes process (in ln(S))


file  fdmblackscholesop.cpp [code]
file  fdmblackscholesop.hpp [code]
 

Black Scholes linear operator.


file  fdmblackscholessolver.cpp [code]
file  fdmblackscholessolver.hpp [code]
file  fdmdirichletboundary.cpp [code]
file  fdmdirichletboundary.hpp [code]
 

Dirichlet boundary conditions for differential operators.


file  fdmdividendhandler.cpp [code]
file  fdmdividendhandler.hpp [code]
 

dividend handler for fdm method for one equity direction


file  fdmhestonhullwhiteop.cpp [code]
file  fdmhestonhullwhiteop.hpp [code]
 

Heston Hull White linear operator.


file  fdmhestonhullwhitesolver.cpp [code]
file  fdmhestonhullwhitesolver.hpp [code]
file  fdmhestonop.cpp [code]
file  fdmhestonop.hpp [code]
 

Heston linear operator.


file  fdmhestonsolver.cpp [code]
file  fdmhestonsolver.hpp [code]
file  fdmhestonvariancemesher.cpp [code]
file  fdmhestonvariancemesher.hpp [code]
 

One-dimensional grid mesher for the variance in the heston problem.


file  fdmhullwhitemesher.cpp [code]
file  fdmhullwhitemesher.hpp [code]
 

One-dimensional grid mesher for the Hull-White short rate process.


file  fdminnervaluecalculator.cpp [code]
 

layer of abstraction to calculate the inner value


file  fdminnervaluecalculator.hpp [code]
 

layer of abstraction to calculate the inner value


file  fdmlinearop.hpp [code]
file  fdmlinearopcomposite.hpp [code]
 

composite pattern for linear operators


file  fdmlinearopiterator.hpp [code]
 

iterator for a linear fdm operator


file  fdmlinearoplayout.cpp [code]
file  fdmlinearoplayout.hpp [code]
 

memory layout of a fdm linear operator


file  fdmmesher.hpp [code]
 

mesher for a fdm grid


file  fdmmeshercomposite.cpp [code]
file  fdmmeshercomposite.hpp [code]
 

FdmMesher which is a composite of Fdm1dMesher.


file  fdmquantohelper.cpp [code]
 

quanto helper to store market data needed for the quanto adjustment.


file  fdmquantohelper.hpp [code]
 

helper class storing market data needed for the quanto adjustment.


file  fdmsimple2dbssolver.cpp [code]
file  fdmsimple2dbssolver.hpp [code]
file  fdmsnapshotcondition.cpp [code]
file  fdmsnapshotcondition.hpp [code]
 

step condition for value inspection


file  fdmstepconditioncomposite.cpp [code]
file  fdmstepconditioncomposite.hpp [code]
 

composite of fdm step conditions


file  firstderivativeop.cpp [code]
file  firstderivativeop.hpp [code]
 

first derivative linear operator


file  hundsdorferscheme.cpp [code]
file  hundsdorferscheme.hpp [code]
 

Hundsdorfer operator splitting.


file  impliciteulerscheme.cpp [code]
file  impliciteulerscheme.hpp [code]
 

Implicit-Euler scheme.


file  modifiedcraigsneydscheme.cpp [code]
file  modifiedcraigsneydscheme.hpp [code]
 

modified Craig-Sneyd operator splitting


file  ninepointlinearop.cpp [code]
file  ninepointlinearop.hpp [code]
 

nine point linear operator


file  secondderivativeop.cpp [code]
file  secondderivativeop.hpp [code]
 

second derivative operator


file  secondordermixedderivativeop.cpp [code]
file  secondordermixedderivativeop.hpp [code]
 

second order mixed derivative linear operator


file  triplebandlinearop.cpp [code]
file  triplebandlinearop.hpp [code]
 

general triple band linear operator


file  uniform1dmesher.hpp [code]
 

One-dimensional simple uniform grid mesher.


file  uniformgridmesher.cpp [code]
file  uniformgridmesher.hpp [code]
 

uniform grid mesher



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