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