QuantLib: a free/open-source library for quantitative finance
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dplus.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file dplus.hpp
21 \brief \f$ D_{+} \f$ matricial representation
22*/
23
24#ifndef quantlib_d_plus_h
25#define quantlib_d_plus_h
26
28
29namespace QuantLib {
30
31 //! \f$ D_{+} \f$ matricial representation
32 /*! The differential operator \f$ D_{+} \f$ discretizes the
33 first derivative with the first-order formula
34 \f[ \frac{\partial u_{i}}{\partial x} \approx
35 \frac{u_{i+1}-u_{i}}{h} = D_{+} u_{i}
36 \f]
37
38 \ingroup findiff
39 */
40 class DPlus : public TridiagonalOperator {
41 public:
42 DPlus(Size gridPoints, Real h);
43 };
44
45
46 // inline definitions
47
48 inline DPlus::DPlus(Size gridPoints, Real h)
49 : TridiagonalOperator(gridPoints) {
50 setFirstRow(-1/h,1/h);
51 setMidRows(0.0,-1/h,1/h);
52 setLastRow(-1/h,1/h); // linear extrapolation
53 }
54
55}
56
57
58#endif
matricial representation
Definition: dplus.hpp:40
DPlus(Size gridPoints, Real h)
Definition: dplus.hpp:48
Base implementation for tridiagonal operator.
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
tridiagonal operator