QuantLib_DZero

Langue: en

Autres versions - même langue

Version: 158227 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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 \

Tests

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

Author

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