QuantLib: Finite-differences framework

A free/open-source library for quantitative finance Reference manual - version 1.12

Classes | Typedefs
Finite-differences framework

## Classes
class | BoundaryCondition< Operator >
| Abstract boundary condition class for finite difference problems. More...
class | NeumannBC
| Neumann boundary condition (i.e., constant derivative) More...
class | DirichletBC
| Neumann boundary condition (i.e., constant value) More...
class | BSMOperator
| Black-Scholes-Merton differential operator. More...
class | CrankNicolson< Operator >
| Crank-Nicolson scheme for finite difference methods. More...
class | DMinus
| \( D_{-} \) matricial representation More...
class | DPlus
| \( D_{+} \) matricial representation More...
class | DPlusDMinus
| \( D_{+}D_{-} \) matricial representation More...
class | DZero
| \( D_{0} \) matricial representation More...
class | ExplicitEuler< Operator >
| Forward Euler scheme for finite difference methods More...
class | FiniteDifferenceModel< Evolver >
| Generic finite difference model. More...
class | ImplicitEuler< Operator >
| Backward Euler scheme for finite difference methods. More...
class | MixedScheme< Operator >
| Mixed (explicit/implicit) scheme for finite difference methods. More...
class | OperatorFactory
| Black-Scholes-Merton differential operator. More...
class | StepConditionSet< array_type >
| Parallel evolver for multiple arrays. More...
class | StepCondition< array_type >
| condition to be applied at every time step More...
class | NullCondition< array_type >
| null step condition More...
class | TRBDF2< Operator >
| TR-BDF2 scheme for finite difference methods. More...
class | TridiagonalOperator
| Base implementation for tridiagonal operator. More...

## Typedefs
typedef PdeOperator< PdeBSM > | BSMTermOperator
| Black-Scholes-Merton differential operator. More...
typedef PdeOperator< PdeShortRate > | OneFactorOperator
| Interest-rate single factor model differential operator. More...

## Detailed Description

This framework (corresponding to the ql/FiniteDifferences directory) contains basic building blocks for the numerical solution of partial differential equations by means of finite-difference methods.

## Typedef Documentation

## ◆ BSMTermOperator

typedef PdeOperator<PdeBSM> BSMTermOperator

Black-Scholes-Merton differential operator.

Tests:
  coefficients are tested against constant BSM operator

## ◆ OneFactorOperator

typedef PdeOperator<PdeShortRate> OneFactorOperator

Interest-rate single factor model differential operator.