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<div class="title">Finite-differences framework</div> </div>
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Classes</h2></td></tr>
<tr class="memitem:"><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_boundary_condition.html">BoundaryCondition< Operator ></a></td></tr>
<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">Abstract boundary condition class for finite difference problems. <a href="class_quant_lib_1_1_boundary_condition.html#details">More...</a><br /></td></tr>
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<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">Neumann boundary condition (i.e., constant derivative) <a href="class_quant_lib_1_1_neumann_b_c.html#details">More...</a><br /></td></tr>
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<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">Neumann boundary condition (i.e., constant value) <a href="class_quant_lib_1_1_dirichlet_b_c.html#details">More...</a><br /></td></tr>
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<tr class="memitem:"><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_b_s_m_operator.html">BSMOperator</a></td></tr>
<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">Black-Scholes-Merton differential operator. <a href="class_quant_lib_1_1_b_s_m_operator.html#details">More...</a><br /></td></tr>
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<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">Crank-Nicolson scheme for finite difference methods. <a href="class_quant_lib_1_1_crank_nicolson.html#details">More...</a><br /></td></tr>
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<tr class="memitem:"><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_d_minus.html">DMinus</a></td></tr>
<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">\( D_{-} \) matricial representation <a href="class_quant_lib_1_1_d_minus.html#details">More...</a><br /></td></tr>
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<tr class="memitem:"><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_d_plus.html">DPlus</a></td></tr>
<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">\( D_{+} \) matricial representation <a href="class_quant_lib_1_1_d_plus.html#details">More...</a><br /></td></tr>
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<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">\( D_{+}D_{-} \) matricial representation <a href="class_quant_lib_1_1_d_plus_d_minus.html#details">More...</a><br /></td></tr>
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<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">\( D_{0} \) matricial representation <a href="class_quant_lib_1_1_d_zero.html#details">More...</a><br /></td></tr>
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<tr class="memitem:"><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_explicit_euler.html">ExplicitEuler< Operator ></a></td></tr>
<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">Forward Euler scheme for finite difference methods <a href="class_quant_lib_1_1_explicit_euler.html#details">More...</a><br /></td></tr>
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<tr class="memitem:"><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_finite_difference_model.html">FiniteDifferenceModel< Evolver ></a></td></tr>
<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">Generic finite difference model. <a href="class_quant_lib_1_1_finite_difference_model.html#details">More...</a><br /></td></tr>
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<tr class="memitem:"><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_implicit_euler.html">ImplicitEuler< Operator ></a></td></tr>
<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">Backward Euler scheme for finite difference methods. <a href="class_quant_lib_1_1_implicit_euler.html#details">More...</a><br /></td></tr>
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<tr class="memitem:"><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mixed_scheme.html">MixedScheme< Operator ></a></td></tr>
<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">Mixed (explicit/implicit) scheme for finite difference methods. <a href="class_quant_lib_1_1_mixed_scheme.html#details">More...</a><br /></td></tr>
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<tr class="memitem:"><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_step_condition_set.html">StepConditionSet< array_type ></a></td></tr>
<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">Parallel evolver for multiple arrays. <a href="class_quant_lib_1_1_step_condition_set.html#details">More...</a><br /></td></tr>
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<tr class="memitem:"><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_step_condition.html">StepCondition< array_type ></a></td></tr>
<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">condition to be applied at every time step <a href="class_quant_lib_1_1_step_condition.html#details">More...</a><br /></td></tr>
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<tr class="memitem:"><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_null_condition.html">NullCondition< array_type ></a></td></tr>
<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">null step condition <a href="class_quant_lib_1_1_null_condition.html#details">More...</a><br /></td></tr>
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<tr class="memitem:"><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_t_r_b_d_f2.html">TRBDF2< Operator ></a></td></tr>
<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">TR-BDF2 scheme for finite difference methods. <a href="class_quant_lib_1_1_t_r_b_d_f2.html#details">More...</a><br /></td></tr>
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<tr class="memitem:"><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_tridiagonal_operator.html">TridiagonalOperator</a></td></tr>
<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">Base implementation for tridiagonal operator. <a href="class_quant_lib_1_1_tridiagonal_operator.html#details">More...</a><br /></td></tr>
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Typedefs</h2></td></tr>
<tr class="memitem:ga99062cef45cec7825cfdf7b0f8e1344c"><td class="memItemLeft" align="right" valign="top">typedef PdeOperator< PdeBSM > </td><td class="memItemRight" valign="bottom"><a class="el" href="group__findiff.html#ga99062cef45cec7825cfdf7b0f8e1344c">BSMTermOperator</a></td></tr>
<tr class="memdesc:ga99062cef45cec7825cfdf7b0f8e1344c"><td class="mdescLeft"> </td><td class="mdescRight">Black-Scholes-Merton differential operator. <a href="group__findiff.html#ga99062cef45cec7825cfdf7b0f8e1344c">More...</a><br /></td></tr>
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typedef PdeOperator< PdeShortRate > </td><td class="memItemRight" valign="bottom"><a class="el" href="group__findiff.html#gab2342f59174f2223a9889acf4a86496a">OneFactorOperator</a></td></tr>
<tr class="memdesc:gab2342f59174f2223a9889acf4a86496a"><td class="mdescLeft"> </td><td class="mdescRight">Interest-rate single factor model differential operator. <br /></td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<p>This framework (corresponding to the ql/FiniteDifferences directory) contains basic building blocks for the numerical solution of partial differential equations by means of finite-difference methods. </p>
<h2 class="groupheader">Typedef Documentation</h2>
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<h2 class="memtitle"><span class="permalink"><a href="#ga99062cef45cec7825cfdf7b0f8e1344c">◆ </a></span>BSMTermOperator</h2>
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<td class="memname">typedef PdeOperator<PdeBSM> <a class="el" href="group__findiff.html#ga99062cef45cec7825cfdf7b0f8e1344c">BSMTermOperator</a></td>
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<p>Black-Scholes-Merton differential operator. </p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000082">Tests:</a></b></dt><dd>coefficients are tested against constant BSM operator </dd></dl>
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