QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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adaptiverungekutta.hpp File Reference

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
 

Detailed Description

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.