Re: ODE

Posted by Luigi Ballabio on Sep 12, 2012; 12:17pm
URL: http://quantlib.414.s1.nabble.com/ODE-tp11997p11998.html

Hi Peter,
    no, there's no support in the library.  And yes, a unit test would
be nice :)

Thanks,
    Luigi

On Sat, Sep 8, 2012 at 7:20 PM, Peter Caspers <[hidden email]> wrote:

> 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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