Hi,
most of the stuff for solving PDE with finite-dfference methods is
in ql/methods/finitedifferences. There's some pricing engines using
those in ql/pricingengines, in the subdirectory corresponding to their
instrument. They're usually called FD(...)engine.
Luigi
On Thu, Jan 23, 2014 at 2:41 PM, Michel KODO BETTI
<
[hidden email]> wrote:
> Hello,
>
> I can't find a way to resolve EDPs numerically with QuantLib. I recall there were EDP solvers in the previous versions especially for the BS EDP but it is nowhere to be found. Do I have to implement it myself then or maybe I am looking in the wrong directions?
>
> Regards,
>
> Michel Kodo Betti
>
>
> ------------------------------------------------------------------------------
> CenturyLink Cloud: The Leader in Enterprise Cloud Services.
> Learn Why More Businesses Are Choosing CenturyLink Cloud For
> Critical Workloads, Development Environments & Everything In Between.
> Get a Quote or Start a Free Trial Today.
>
http://pubads.g.doubleclick.net/gampad/clk?id=119420431&iu=/4140/ostg.clktrk> _______________________________________________
> QuantLib-users mailing list
>
[hidden email]
>
https://lists.sourceforge.net/lists/listinfo/quantlib-users--
<
https://implementingquantlib.blogspot.com>
<
https://twitter.com/lballabio>
------------------------------------------------------------------------------
CenturyLink Cloud: The Leader in Enterprise Cloud Services.
Learn Why More Businesses Are Choosing CenturyLink Cloud For
Critical Workloads, Development Environments & Everything In Between.
Get a Quote or Start a Free Trial Today.
http://pubads.g.doubleclick.net/gampad/clk?id=119420431&iu=/4140/ostg.clktrk_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Locked
