QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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nthorderderivativeop.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2018 Klaus Spanderen
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 nthorderderivativeop.hpp
21 \brief n-th order derivative linear operator
22*/
23
24#ifndef quantlib_nth_order_derivative_op_hpp
25#define quantlib_nth_order_derivative_op_hpp
26
29
30namespace QuantLib {
31
33 public:
35 Size direction, Size order, Integer nPoints,
36 const ext::shared_ptr<FdmMesher>& mesher);
37
38 array_type apply(const array_type& r) const override;
39 SparseMatrix toMatrix() const override;
40
41 private:
43 };
44}
45
46#endif
1-D array used in linear algebra.
Definition: array.hpp:52
array_type apply(const array_type &r) const override
SparseMatrix toMatrix() const override
linear operator to model a multi dimensinal pde system
mesher for a fdm grid
QL_INTEGER Integer
integer number
Definition: types.hpp:35
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
boost::numeric::ublas::compressed_matrix< Real > SparseMatrix
ext::shared_ptr< YieldTermStructure > r