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/fornb…

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 Sep 23 2016 Version 1.8.1 QuantLib