Directories | |
directory | meshers |
directory | operators |
directory | schemes |
directory | solvers |
directory | stepconditions |
directory | utilities |
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 |
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file | dplus.hpp |
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file | dplusdminus.hpp |
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file | dzero.hpp |
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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 | operatorfactory.hpp |
Factory for finite difference operators. | |
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 | |