quant::grid_utils Namespace Reference

Classes
struct	DiffusionCoefficients
struct	OperatorWorkspace
struct	PayoffBoundaryParams
struct	SpaceGrid
struct	StretchedGridParams

Functions
void	assemble_operator (const SpaceGrid &grid, const DiffusionCoefficients &coeffs, double dt, double theta, const std::vector< double > &v_curr, OperatorWorkspace &op)
SpaceGrid	build_space_grid (const StretchedGridParams &params)
double	dirichlet_boundary (const PayoffBoundaryParams &params, double spot, bool is_lower)
double	stretch_map (double xi, double anchor, double stretch)

Function Documentation

assemble_operator()

void quant::grid_utils::assemble_operator	(	const SpaceGrid &	grid,
		const DiffusionCoefficients &	coeffs,
		double	dt,
		double	theta,
		const std::vector< double > &	v_curr,
		OperatorWorkspace &	op
	)

build_space_grid()

SpaceGrid quant::grid_utils::build_space_grid

(

const StretchedGridParams &

params

)

dirichlet_boundary()

double quant::grid_utils::dirichlet_boundary	(	const PayoffBoundaryParams &	params,
		double	spot,
		bool	is_lower
	)

stretch_map()

double quant::grid_utils::stretch_map	(	double	xi,
		double	anchor,
		double	stretch
	)