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finitedifferences Directory Reference


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  sparseilupreconditioner.cpp [code]
file  sparseilupreconditioner.hpp [code]
 Preconditioner using the Incomplete LU algorithm and sparse matrices.
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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