finitedifferences Directory Reference

## Directories

## 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
| \( D_{-} \) matricial representation
file | dplus.hpp
| \( D_{+} \) matricial representation
file | dplusdminus.hpp
| \( D_{+}D_{-} \) matricial representation
file | dzero.hpp
| \( D_{0} \) matricial representation
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