QuantLib
: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
Loading...
Searching...
No Matches
ql
methods
finitedifferences
dzero.hpp
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
24
#ifndef quantlib_d_zero_h
25
#define quantlib_d_zero_h
26
27
#include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
28
29
namespace
QuantLib
{
30
32
43
class
DZero
:
public
TridiagonalOperator
{
44
public
:
45
DZero
(
Size
gridPoints,
Real
h);
46
};
47
48
49
// inline definitions
50
51
inline
DZero::DZero
(
Size
gridPoints,
Real
h)
52
:
TridiagonalOperator
(gridPoints) {
53
setFirstRow
(-1/h,1/h);
// linear extrapolation
54
setMidRows
(-1/(2*h),0.0,1/(2*h));
55
setLastRow
(-1/h,1/h);
// linear extrapolation
56
}
57
58
}
59
60
61
#endif
QuantLib::DZero
matricial representation
Definition:
dzero.hpp:43
QuantLib::DZero::DZero
DZero(Size gridPoints, Real h)
Definition:
dzero.hpp:51
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
Generated by
Doxygen
1.9.5