Hi,
I am considering using quantlib and I would initially like to evaluate the
finite difference framework. I am wondering if there is any available
example code. The AmericanOption.cpp doesnt seem to implement an FD
solver and the code in the finite difference tutorial at
http://www.quantlib.org/html/findiff.html doesn't seem to work (The method
TridiagonalOperator::setLowerBC e.g. does not appear to be defined).
Sorry if I am missing something obvious or previously discussed - I also
couldn't figure out how to search the list archive.
Regards,
Karsten
Locked
