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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.38
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Classes | |
| class | BoundaryCondition< Operator > |
| Abstract boundary condition class for finite difference problems. More... | |
| class | NeumannBC |
| Neumann boundary condition (i.e., constant derivative) More... | |
| class | DirichletBC |
| Dirichlet boundary condition (i.e., constant value) More... | |
| class | CrankNicolson< Operator > |
| Crank-Nicolson scheme for finite difference methods. More... | |
| class | DMinus |
| \( D_{-} \) matricial representation More... | |
| class | DPlus |
| \( D_{+} \) matricial representation More... | |
| class | DPlusDMinus |
| \( D_{+}D_{-} \) matricial representation More... | |
| class | DZero |
| \( D_{0} \) matricial representation More... | |
| class | ExplicitEuler< Operator > |
| Forward Euler scheme for finite difference methods More... | |
| class | FiniteDifferenceModel< Evolver > |
| Generic finite difference model. More... | |
| class | ImplicitEuler< Operator > |
| Backward Euler scheme for finite difference methods. More... | |
| class | MixedScheme< Operator > |
| Mixed (explicit/implicit) scheme for finite difference methods. More... | |
| class | StepCondition< array_type > |
| condition to be applied at every time step More... | |
| class | NullCondition< array_type > |
| null step condition More... | |
| class | TRBDF2< Operator > |
| TR-BDF2 scheme for finite difference methods. More... | |
| class | TridiagonalOperator |
| Base implementation for tridiagonal operator. More... | |
This framework (corresponding to the ql/methods/finitedifferences directory) contains basic building blocks for the numerical solution of partial differential equations by means of finite-difference methods.