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QuantLib_DPlusDMinus
Langue: en
Version: 384194 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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 [ ac{
artial^2 u_{i}}{
artial x^2} pprox ac{u_{i+1}-2u_{i}+u_{i-1}}{h^2} = D_{+}D_{-} u_{i} ]
Tests
- the correctness of the returned values is tested by checking them against numerical calculations.
Author
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