QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
finitedifferences Directory Reference

Directories

Files

file  americancondition.hpp
 american option exercise condition
 
file  boundarycondition.hpp
 boundary conditions for differential operators
 
file  bsmoperator.hpp
 differential operator for Black-Scholes-Merton equation
 
file  bsmtermoperator.hpp
 differential operator for Black-Scholes-Merton equation
 
file  cranknicolson.hpp
 Crank-Nicolson scheme for finite difference methods.
 
file  dminus.hpp
 \( D_{-} \) matricial representation
 
file  dplus.hpp
 \( D_{+} \) matricial representation
 
file  dplusdminus.hpp
 \( D_{+}D_{-} \) matricial representation
 
file  dzero.hpp
 \( D_{0} \) matricial representation
 
file  expliciteuler.hpp
 explicit Euler scheme for finite difference methods
 
file  fdtypedefs.hpp
 default choices for template instantiations
 
file  finitedifferencemodel.hpp
 generic finite difference model
 
file  impliciteuler.hpp
 implicit Euler scheme for finite difference methods
 
file  mixedscheme.hpp
 Mixed (explicit/implicit) scheme for finite difference methods.
 
file  onefactoroperator.hpp
 general differential operator for one-factor interest rate models
 
file  operatortraits.hpp
 Differential operator traits.
 
file  parallelevolver.hpp
 Parallel evolver for multiple arrays.
 
file  pde.hpp
 General class for one dimensional PDE's.
 
file  pdebsm.hpp
 Black-Scholes-Merton PDE.
 
file  pdeshortrate.hpp
 adapter to short rate
 
file  shoutcondition.hpp
 shout option exercise condition
 
file  stepcondition.hpp
 conditions to be applied at every time step
 
file  trbdf2.hpp
 TR-BDF2 scheme for finite difference methods.
 
file  tridiagonaloperator.hpp
 tridiagonal operator
 
file  zerocondition.hpp
 zero option exercise condition