QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
methods
finitedifferences
dplus.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file dplus.hpp
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\brief \f$ D_{+} \f$ matricial representation
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*/
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#ifndef quantlib_d_plus_h
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#define quantlib_d_plus_h
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#include <
ql/methods/finitedifferences/tridiagonaloperator.hpp
>
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namespace
QuantLib
{
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//! \f$ D_{+} \f$ matricial representation
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/*! The differential operator \f$ D_{+} \f$ discretizes the
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first derivative with the first-order formula
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\f[ \frac{\partial u_{i}}{\partial x} \approx
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\frac{u_{i+1}-u_{i}}{h} = D_{+} u_{i}
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\f]
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\ingroup findiff
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*/
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class
DPlus
:
public
TridiagonalOperator
{
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public
:
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DPlus
(
Size
gridPoints,
Real
h);
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};
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// inline definitions
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inline
DPlus::DPlus
(
Size
gridPoints,
Real
h)
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:
TridiagonalOperator
(gridPoints) {
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setFirstRow
(-1/h,1/h);
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setMidRows
(0.0,-1/h,1/h);
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setLastRow
(-1/h,1/h);
// linear extrapolation
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}
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}
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#endif
QuantLib::DPlus
matricial representation
Definition:
dplus.hpp:40
QuantLib::DPlus::DPlus
DPlus(Size gridPoints, Real h)
Definition:
dplus.hpp:48
QuantLib::TridiagonalOperator
Base implementation for tridiagonal operator.
Definition:
tridiagonaloperator.hpp:42
QuantLib::TridiagonalOperator::setLastRow
void setLastRow(Real, Real)
Definition:
tridiagonaloperator.hpp:171
QuantLib::TridiagonalOperator::setMidRows
void setMidRows(Real, Real, Real)
Definition:
tridiagonaloperator.hpp:161
QuantLib::TridiagonalOperator::setFirstRow
void setFirstRow(Real, Real)
Definition:
tridiagonaloperator.hpp:144
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
tridiagonaloperator.hpp
tridiagonal operator
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