forward/explicit euler solver

classic Classic list List threaded Threaded
1 message Options
Reply | Threaded
Open this post in threaded view
|

forward/explicit euler solver

Sashan Govender
Hi

I downloaded quantlib and had a look at the euler solver
(expliciteuler.hpp) but all I can find is the interface to the class.
I can't find the implementation, the code that does f(x + h) = h*f'(x)
+ f(x). I've implemented an euler solver class in some work I did at
university in physically based animation and am curious about
financial mathematics.

Thanks