FiniteDifferenceModel Class Template Reference
[Finite-differences framework]

#include <ql/FiniteDifferences/finitedifferencemodel.hpp>

List of all members.


Detailed Description

template<class Evolver>
class QuantLib::FiniteDifferenceModel< Evolver >

Generic finite difference model.

See sect. Finite-differences framework


Public Types

typedef Evolver::arrayType arrayType
typedef Evolver::operatorType operatorType
typedef BoundaryCondition<
operatorType > 
bcType
typedef StepCondition< arrayType > conditionType

Public Member Functions

 FiniteDifferenceModel (const operatorType &L, const std::vector< boost::shared_ptr< bcType > > &bcs, const std::vector< Time > &stoppingTimes=std::vector< Time >())
 FiniteDifferenceModel (const Evolver &evolver, const std::vector< Time > &stoppingTimes=std::vector< Time >())
void rollback (arrayType &a, Time from, Time to, Size steps, const boost::shared_ptr< conditionType > &condition=boost::shared_ptr< conditionType >())
const Evolver & evolver () const


Member Function Documentation

void rollback arrayType &  a,
Time  from,
Time  to,
Size  steps,
const boost::shared_ptr< conditionType > &  condition = boost::shared_ptr< conditionType >()
 

solves the problem between the given times, possibly applying a condition at every step.

Warning:
being this a rollback, from must be a later time than to.


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