Uploaded some code to....
http://wiki.quantlib.org/twiki/bin/view/Quantlib/FiniteDifferencePricingEnginesThis code creates a system evolver that basically stitches together
several PDE solvers into one object that can be evolved by the finite
difference engine. Long term the goal is to be able to solve coupled
PDE's. Short term, it lets you implement control variates in American
options.
I don't know if any of this code works, but I've uploaded it to get some
comments on the architecture (which I'm not particularly satisfied with).
Locked
