NumericalDifferentiation Class Reference

Numerical Differentiation on arbitrarily spaced grids. More...

#include <ql/methods/finitedifferences/operators/numericaldifferentiation.hpp>

Public Types
enum	Scheme { Central , Backward , Forward }

Public Member Functions
	NumericalDifferentiation (std::function< Real(Real)> f, Size orderOfDerivative, Array x_offsets)
	NumericalDifferentiation (std::function< Real(Real)> f, Size orderOfDerivative, Real stepSize, Size steps, Scheme scheme)
Real	operator() (Real x) const
const Array &	offsets () const
const Array &	weights () const

Detailed Description

Numerical Differentiation on arbitrarily spaced grids.

References:

B. Fornberg, 1988. Generation of Finite Difference Formulas on Arbitrarily Spaced Grids, http://amath.colorado.edu/faculty/fornberg/Docs/MathComp_88_FD_formulas.pdf