Re: Quantlib Finite Difference 2 dimension

Posted by Pushpendu Chakraborty on
URL: http://quantlib.414.s1.nabble.com/Quantlib-Finite-Difference-2-dimension-tp16334p16350.html

Thanks Klaus for the info.

 

Is there any comprehensive documentation for finite difference implementation ? It is quite daunting to look at without any UML or documentation .

On Sat, Mar 7, 2015 at 3:30 AM, Klaus Spanderen <[hidden email]> wrote:

Hi

E.g. the test BasketOptionTest::testEuroTwoValues is using a two dimensional
finite difference model via the pricing engine Fd2dBlackScholesVanillaEngine,
The test suite FdHestonTest belong to the same category.

regards
Klaus

On Friday, March 06, 2015 04:31:50 PM Pushpendu Chakraborty wrote:
> How can I implement 2 dimension finite difference model in Quantlib ? Test
> code showed equity option with one dimension only I believe.
>
> I would like to specify initial and boundary conditions and use Crank
> Nicholson for linear algebra part .

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