ODE

[Peter Caspers-4]

Hi Luigi, Nando,
is there support for ODE integration in QuantLib ? I think I looked for
it several times but did not find anything obvious.
I have translated the Runge Kutta method from the numerical recipes to
QuantLib style (or my perception of it ;-) ) with support for real and
complex valued ODEs. If you want, you can add it to the lib. Also, if
you want I can provide a unit test.
with regards
Peter



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[Luigi Ballabio]

Hi Peter,
    no, there's no support in the library.  And yes, a unit test would
be nice :)

Thanks,
    Luigi

On Sat, Sep 8, 2012 at 7:20 PM, Peter Caspers <[hidden email]> wrote:

> Hi Luigi, Nando,
> is there support for ODE integration in QuantLib ? I think I looked for it
> several times but did not find anything obvious.
> I have translated the Runge Kutta method from the numerical recipes to
> QuantLib style (or my perception of it ;-) ) with support for real and
> complex valued ODEs. If you want, you can add it to the lib. Also, if you
> want I can provide a unit test.
> with regards
> Peter
>
>

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threat landscape has changed and how IT managers can respond. Discussions
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[Peter Caspers-4]

Hi Luigi,
here are some tests. I hope they are sufficient for the moment.
Thank you, have a nice weekend
Peter

Am 12.09.2012 14:17, schrieb Luigi Ballabio:

> Hi Peter,
>      no, there's no support in the library.  And yes, a unit test would
> be nice :)
>
> Thanks,
>      Luigi
>
> On Sat, Sep 8, 2012 at 7:20 PM, Peter Caspers<[hidden email]>  wrote:
>> Hi Luigi, Nando,
>> is there support for ODE integration in QuantLib ? I think I looked for it
>> several times but did not find anything obvious.
>> I have translated the Runge Kutta method from the numerical recipes to
>> QuantLib style (or my perception of it ;-) ) with support for real and
>> complex valued ODEs. If you want, you can add it to the lib. Also, if you
>> want I can provide a unit test.
>> with regards
>> Peter
>>
>>

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[Luigi Ballabio]

Hi Peter,
    I've added your code to the ql/experimental/math folder.

Thanks,
    Luigi


On Fri, Sep 14, 2012 at 9:47 PM, Peter Caspers <[hidden email]> wrote:

> Hi Luigi,
> here are some tests. I hope they are sufficient for the moment.
> Thank you, have a nice weekend
> Peter
>
> Am 12.09.2012 14:17, schrieb Luigi Ballabio:
>
>> Hi Peter,
>>      no, there's no support in the library.  And yes, a unit test would
>> be nice :)
>>
>> Thanks,
>>      Luigi
>>
>> On Sat, Sep 8, 2012 at 7:20 PM, Peter Caspers<[hidden email]>
>> wrote:
>>>
>>> Hi Luigi, Nando,
>>> is there support for ODE integration in QuantLib ? I think I looked for
>>> it
>>> several times but did not find anything obvious.
>>> I have translated the Runge Kutta method from the numerical recipes to
>>> QuantLib style (or my perception of it ;-) ) with support for real and
>>> complex valued ODEs. If you want, you can add it to the lib. Also, if you
>>> want I can provide a unit test.
>>> with regards
>>> Peter
>>>
>>>
>

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