Re: ODE

Posted by Peter Caspers-4 on Sep 14, 2012; 7:47pm
URL: http://quantlib.414.s1.nabble.com/ODE-tp11997p11999.html

Hi Luigi,
here are some tests. I hope they are sufficient for the moment.
Thank you, have a nice weekend
Peter

Am 12.09.2012 14:17, schrieb Luigi Ballabio:

> 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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