QuantLib_DPlusDMinus man page

DPlusDMinus — $ D_{+}D_{-} $ matricial representation

Synopsis

#include <ql/methods/finitedifferences/dplusdminus.hpp>

Inherits TridiagonalOperator.

Public Member Functions

DPlusDMinus (Size gridPoints, Real h)

Additional Inherited Members

Detailed Description

$ D_{+}D_{-} $ matricial representation

The differential operator $ D_{+}D_{-} $ discretizes the second derivative with the second-order formula [ ac{partial^2 u_{i}}{partial x^2} approx ac{u_{i+1}-2u_{i}+u_{i-1}}{h^2} = D_{+}D_{-} u_{i} ]

Tests

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

Author

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Referenced By

DPlusDMinus(3) is an alias of QuantLib_DPlusDMinus(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib