Re: de solvers and richardson extrapolation

Posted by Luigi Ballabio on Jan 03, 2007; 2:01pm
URL: http://quantlib.414.s1.nabble.com/de-solvers-and-richardson-extrapolation-tp11396p11397.html

On Wed, 2007-01-03 at 15:10 +1300, Sashan Govender wrote:
> 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).

Hi Sashan,
        explicit and implicit Euler schemes are degenerate cases of the mixed
implicit/explicit scheme implemented in mixedscheme.hpp. The only thing
that the explicit-Euler class does is inherit from MixedScheme and
forward its parameters to the base class constructor.


> I had a look at the todo list and it mentioned richardson
> extrapolation. I have rough plan for implementing this so that it can
> handle any solver (ie. Euler, RK4 etc...).
[snipped]
> I can detail this approach with some C++ code hopefully sometime soon.

Yes, please do.

Later,
        Luigi


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Prediction is very difficult, especially if it's about the future.
-- Niels Bohr