QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Types | Public Member Functions | List of all members
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, const std::vector< Time > &stoppingTimes=std::vector< Time >())
 
 FiniteDifferenceModel (const Evolver &evolver, const 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]

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]

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.