QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Runge-Kutta ODE integration. More...
#include <ql/types.hpp>
#include <ql/errors.hpp>
#include <ql/functional.hpp>
#include <vector>
#include <cmath>
#include <complex>
Go to the source code of this file.
Classes | |
class | AdaptiveRungeKutta< T > |
struct | OdeFctWrapper< T > |
Namespaces | |
namespace | QuantLib |
namespace | QuantLib::detail |
Runge-Kutta ODE integration.
Runge Kutta method with adaptive stepsize as described in Numerical Recipes in C, Chapter 16.2
Definition in file adaptiverungekutta.hpp.