| Classes | |
| class | BoundaryCondition< Operator > | 
| Abstract boundary condition class for finite difference problems.  More... | |
| class | NeumannBC | 
| Neumann boundary condition (i.e., constant derivative)  More... | |
| class | DirichletBC | 
| Neumann boundary condition (i.e., constant value)  More... | |
| class | BSMOperator | 
| Black-Scholes-Merton differential operator.  More... | |
| class | CrankNicolson< Operator > | 
| Crank-Nicolson scheme for finite difference methods.  More... | |
| class | DMinus | 
| \( D_{-} \) matricial representation  More... | |
| class | DPlus | 
| \( D_{+} \) matricial representation  More... | |
| class | DPlusDMinus | 
| \( D_{+}D_{-} \) matricial representation  More... | |
| class | DZero | 
| \( D_{0} \) matricial representation  More... | |
| class | ExplicitEuler< Operator > | 
| Forward Euler scheme for finite difference methods  More... | |
| class | FiniteDifferenceModel< Evolver > | 
| Generic finite difference model.  More... | |
| class | ImplicitEuler< Operator > | 
| Backward Euler scheme for finite difference methods.  More... | |
| class | MixedScheme< Operator > | 
| Mixed (explicit/implicit) scheme for finite difference methods.  More... | |
| class | OperatorFactory | 
| Black-Scholes-Merton differential operator.  More... | |
| class | StepConditionSet< array_type > | 
| Parallel evolver for multiple arrays.  More... | |
| class | StepCondition< array_type > | 
| condition to be applied at every time step  More... | |
| class | NullCondition< array_type > | 
| null step condition  More... | |
| class | TRBDF2< Operator > | 
| TR-BDF2 scheme for finite difference methods.  More... | |
| class | TridiagonalOperator | 
| Base implementation for tridiagonal operator.  More... | |
| Typedefs | |
| typedef PdeOperator< PdeBSM > | BSMTermOperator | 
| Black-Scholes-Merton differential operator.  More... | |
| typedef PdeOperator< PdeShortRate > | OneFactorOperator | 
| Interest-rate single factor model differential operator.  More... | |
This framework (corresponding to the ql/FiniteDifferences directory) contains basic building blocks for the numerical solution of partial differential equations by means of finite-difference methods.
| typedef PdeOperator<PdeBSM> BSMTermOperator | 
Black-Scholes-Merton differential operator.
| typedef PdeOperator<PdeShortRate> OneFactorOperator | 
Interest-rate single factor model differential operator.