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QuantLib_DZero
Langue: en
Version: 376731 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::DZero -$ D_{0} $ matricial representation
SYNOPSIS
#include <ql/methods/finitedifferences/dzero.hpp>
Inherits QuantLib::TridiagonalOperator.
Public Member Functions
DZero (Size gridPoints, Real h)
Detailed Description
$ D_{0} $ matricial representation
The differential operator $ D_{0} $ discretizes the first derivative with the second-order formula [ ac{
artial u_{i}}{
artial x} pprox ac{u_{i+1}-u_{i-1}}{2h} = D_{0} u_{i} ]
Tests
- the correctness of the returned values is tested by checking them against numerical calculations.
Author
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