QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
operators Directory Reference

Files

file  fdm2dblackscholesop.hpp
 
file  fdmbatesop.hpp
 Bates linear operator.
 
file  fdmblackscholesop.hpp
 Black Scholes linear operator.
 
file  fdmcevop.hpp
 FDM operator for the Constant Elasticity of Variance (CEV) model.
 
file  fdmcirop.hpp
 CIR linear operator.
 
file  fdmhestonhullwhiteop.hpp
 Heston Hull White linear operator.
 
file  fdmhestonop.hpp
 Heston linear operator.
 
file  fdmhullwhiteop.hpp
 FDM operator for the Hull-White interest rate model.
 
file  fdmlinearop.hpp
 linear operator to model a multi dimensinal pde system
 
file  fdmlinearopcomposite.hpp
 composite pattern for linear operators
 
file  fdmlinearopiterator.hpp
 iterator for a linear fdm operator
 
file  fdmlinearoplayout.hpp
 memory layout of a fdm linear operator
 
file  fdmlocalvolfwdop.hpp
 local volatility linear operator for the Fokker-Planck forward equation
 
file  fdmornsteinuhlenbeckop.hpp
 Ornstein Uhlenbeck process.
 
file  fdmsabrop.hpp
 FDM operator for the SABR model.
 
file  firstderivativeop.hpp
 first derivative linear operator
 
file  ninepointlinearop.hpp
 nine point linear operator
 
file  nthorderderivativeop.hpp
 n-th order derivative linear operator
 
file  numericaldifferentiation.hpp
 numerical differentiation of arbitrary order and on irregular grids
 
file  secondderivativeop.hpp
 second derivative operator
 
file  secondordermixedderivativeop.hpp
 second order mixed derivative linear operator
 
file  triplebandlinearop.hpp
 general triple band linear operator