ODE
Posted by
Peter Caspers-4 on
Sep 08, 2012; 5:20pm
URL: http://quantlib.414.s1.nabble.com/ODE-tp11997.html
Hi Luigi, Nando,
is there support for ODE integration in QuantLib ? I think I looked for
it several times but did not find anything obvious.
I have translated the Runge Kutta method from the numerical recipes to
QuantLib style (or my perception of it ;-) ) with support for real and
complex valued ODEs. If you want, you can add it to the lib. Also, if
you want I can provide a unit test.
with regards
Peter
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