- QuantLib
- FiniteDifferenceModel
Generic finite difference model. More...
#include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
Public Types | |
| typedef Evolver::traits | traits |
| typedef traits::operator_type | operator_type |
| typedef traits::array_type | array_type |
| typedef traits::bc_set | bc_set |
| typedef traits::condition_type | condition_type |
Public Member Functions | |
| FiniteDifferenceModel (const operator_type &L, const bc_set &bcs, const std::vector< Time > &stoppingTimes=std::vector< Time >()) | |
| FiniteDifferenceModel (const Evolver &evolver, const std::vector< Time > &stoppingTimes=std::vector< Time >()) | |
| const Evolver & | evolver () const |
| void | rollback (array_type &a, Time from, Time to, Size steps) |
| void | rollback (array_type &a, Time from, Time to, Size steps, const condition_type &condition) |
Generic finite difference model.
solves the problem between the given times.
from must be a later time than to.