QuantLib 0.3.6
User manual
Introduction to QuantLib
QuantLib components
Reference manual
NumericalMethod Class Reference
#include <ql/numericalmethod.hpp>
Inheritance diagram for NumericalMethod:
Detailed Description
Numerical method (tree, finite-differences) base class.
Public Member Functions | |
| NumericalMethod (const TimeGrid &timeGrid) | |
| const TimeGrid & | timeGrid () const |
| virtual void | initialize (const Handle< DiscretizedAsset > &, Time time) const=0 |
| virtual void | rollback (const Handle< DiscretizedAsset > &, Time to) const=0 |
| virtual void | rollAlmostBack (const Handle< DiscretizedAsset > &, Time to) const=0 |
Protected Attributes | |
| TimeGrid | t_ |
