QuantLib_NumericalDifferentiation man page

NumericalDifferentiation — Numerical Differentiation on arbitrarily spaced grids.  

Synopsis

#include <ql/experimental/math/numericaldifferentiation.hpp>

Inherits unary_function< Real, Real >.

Public Types

enum Scheme { Central, Backward, Forward }

Public Member Functions

NumericalDifferentiation (const boost::function< Real(Real)> &f, Size orderOfDerivative, const Array &x_offsets)
NumericalDifferentiation (const boost::function< Real(Real)> &f, Size orderOfDerivative, Real stepSize, Size steps, Scheme scheme)
Real operator() (Real x) const
const Array & offsets () const
const Array & weights () const

Detailed Description

Numerical Differentiation on arbitrarily spaced grids.

References:

B. Fornberg, 1988. Generation of Finite Difference Formulas on Arbitrarily Spaced Grids, http://amath.colorado.edu/faculty/fornberg/Docs/MathComp_88_FD_formulas.pdf

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

NumericalDifferentiation(3) and offsets(3) are aliases of QuantLib_NumericalDifferentiation(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib