QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Generic finite difference model. More...
#include <finitedifferencemodel.hpp>
Public Types | |
typedef Evolver::traits | traits |
typedef traits::operator_type | operator_type |
typedef traits::array_type | array_type |
typedef traits::bc_set | bc_set |
typedef traits::condition_type | condition_type |
Public Member Functions | |
FiniteDifferenceModel (const operator_type &L, const bc_set &bcs, std::vector< Time > stoppingTimes=std::vector< Time >()) | |
FiniteDifferenceModel (Evolver evolver, std::vector< Time > stoppingTimes=std::vector< Time >()) | |
const Evolver & | evolver () const |
void | rollback (array_type &a, Time from, Time to, Size steps) |
void | rollback (array_type &a, Time from, Time to, Size steps, const condition_type &condition) |
Private Member Functions | |
void | rollbackImpl (array_type &a, Time from, Time to, Size steps, const condition_type *condition) |
Private Attributes | |
Evolver | evolver_ |
std::vector< Time > | stoppingTimes_ |
Generic finite difference model.
Definition at line 37 of file finitedifferencemodel.hpp.
typedef Evolver::traits traits |
Definition at line 39 of file finitedifferencemodel.hpp.
typedef traits::operator_type operator_type |
Definition at line 40 of file finitedifferencemodel.hpp.
typedef traits::array_type array_type |
Definition at line 41 of file finitedifferencemodel.hpp.
typedef traits::bc_set bc_set |
Definition at line 42 of file finitedifferencemodel.hpp.
typedef traits::condition_type condition_type |
Definition at line 43 of file finitedifferencemodel.hpp.
FiniteDifferenceModel | ( | const operator_type & | L, |
const bc_set & | bcs, | ||
std::vector< Time > | stoppingTimes = std::vector<Time>() |
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Definition at line 45 of file finitedifferencemodel.hpp.
FiniteDifferenceModel | ( | Evolver | evolver, |
std::vector< Time > | stoppingTimes = std::vector<Time>() |
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) |
Definition at line 53 of file finitedifferencemodel.hpp.
const Evolver & evolver | ( | ) | const |
Definition at line 62 of file finitedifferencemodel.hpp.
void rollback | ( | array_type & | a, |
Time | from, | ||
Time | to, | ||
Size | steps | ||
) |
solves the problem between the given times.
from
must be a later time than to
. Definition at line 67 of file finitedifferencemodel.hpp.
void rollback | ( | array_type & | a, |
Time | from, | ||
Time | to, | ||
Size | steps, | ||
const condition_type & | condition | ||
) |
solves the problem between the given times, applying a condition at every step.
from
must be a later time than to
. Definition at line 78 of file finitedifferencemodel.hpp.
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private |
Definition at line 86 of file finitedifferencemodel.hpp.
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private |
Definition at line 146 of file finitedifferencemodel.hpp.
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private |
Definition at line 147 of file finitedifferencemodel.hpp.