#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
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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
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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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