FiniteDifferenceModel< Evolver > Class Template Reference

Generic finite difference model. More...

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

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, std::vector< Time > stoppingTimes=std::vector< Time >())
	FiniteDifferenceModel (Evolver evolver, 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)

Detailed Description

template<class Evolver>
class QuantLib::FiniteDifferenceModel< Evolver >

Generic finite difference model.

Member Function Documentation

rollback() [1/2]

template<class Evolver>

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.

rollback() [2/2]

template<class Evolver>

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.