1Finite-differences framework(3)    QuantLib    Finite-differences framework(3)
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NAME

6       Finite-differences framework -
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Detailed Description

9       This framework (corresponding to the ql/FiniteDifferences directory)
10       contains basic building blocks for the numerical solution of partial
11       differential equations by means of finite-difference methods.
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13   Classes
14       class BoundaryCondition
15           Abstract boundary condition class for finite difference problems.
16       class NeumannBC
17           Neumann boundary condition (i.e., constant derivative).
18       class DirichletBC
19           Neumann boundary condition (i.e., constant value).
20       class BSMOperator
21           Black-Scholes-Merton differential operator.
22       class CrankNicolson
23           Crank-Nicolson scheme for finite difference methods.
24       class DMinus
25           $ D_{-} $ matricial representation
26       class DPlus
27           $ D_{+} $ matricial representation
28       class DPlusDMinus
29           $ D_{+}D_{-} $ matricial representation
30       class DZero
31           $ D_{0} $ matricial representation
32       class ExplicitEuler
33           Forward Euler scheme for finite difference methods
34       class FiniteDifferenceModel
35           Generic finite difference model.
36       class ImplicitEuler
37           Backward Euler scheme for finite difference methods.
38       class MixedScheme
39           Mixed (explicit/implicit) scheme for finite difference methods.
40       class OperatorFactory
41           Black-Scholes-Merton differential operator.
42       class StepConditionSet
43           Parallel evolver for multiple arrays.
44       class StepCondition
45           condition to be applied at every time step
46       class NullCondition
47           null step condition
48       class TridiagonalOperator
49           Base implementation for tridiagonal operator.
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51   Typedefs
52       typedef PdeOperator< PdeBSM > BSMTermOperator
53           Black-Scholes-Merton differential operator.
54       typedef PdeOperator< PdeShortRate > OneFactorOperator
55           Interest-rate single factor model differential operator.
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Typedef Documentation

58   typedef PdeOperator<PdeBSM> BSMTermOperator
59       Black-Scholes-Merton differential operator.
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61       Tests
62           coefficients are tested against constant BSM operator
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64   typedef PdeOperator<PdeShortRate> OneFactorOperator
65       Interest-rate single factor model differential operator.
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67Version 0.8.1                     29 Oct 2007  Finite-differences framework(3)