Ideas for two new classes

Posted by Joseph Wang on
URL: http://quantlib.414.s1.nabble.com/Ideas-for-two-new-classes-tp10895.html

math/SampledCurve - represents a curve which consists of n+1 arrays, one
for the independent values and n dependent values.  Methods of this
class will allow for interpolation and generating first and second
derivative curves.

PartialDifferentialEquation - represents a PDE

The idea behind these new classes will be to clean up the finite
differencing code a bit.  Instead of deal with raw arrays, the code will
deal with SampledCurve's which will have facilities to allow
interpolation, and the finite difference class will be able to pass the
SampleCurve back up to the instrument where things can be done with it
such as calculating delta curves and option curves.

The idea behind a PDE class is to separate the processes from the finite
differencing code.  For example the BlackScholes process will generate a
PDE object and the fd code will generate the finite difference operators
from the PDE object rather than the BlackScholes process itself.

The idea behind this is to improve code clarity as well as to allow for
PDE arithmetic.  Also, I suspect that there are some very clever things
that one can do with Feymann-Kac once we have this in place.