QuantLib_DPlusDMinus

Langue: en

Autres versions - même langue

Version: 173038 (fedora - 06/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::DPlusDMinus - $ D_{+}D_{-} $ matricial representation

SYNOPSIS


#include <ql/methods/finitedifferences/dplusdminus.hpp>

Inherits QuantLib::TridiagonalOperator.

Public Member Functions


DPlusDMinus (Size gridPoints, Real h)

Detailed Description

$ D_{+}D_{-} $ matricial representation

The differential operator $ D_{+}D_{-} $ discretizes the second derivative with the second-order formula \

Tests

the correctness of the returned values is tested by checking them against numerical calculations.

Author

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