|
| 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
|
| |