CFL
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Conditional expectation with respect to gaussian distribution. More...
Go to the source code of this file.
Classes | |
class | cfl::GaussRollback |
Concrete class for the operator of conditional expectation with respect to gaussian distribution. More... | |
class | cfl::IGaussRollback |
Interface class for the operator of conditional expectation with respect to gaussian distribution. More... | |
Namespaces | |
cfl | |
Main namespace for cfl library. | |
cfl::NGaussRollback | |
Implementations of the operator of conditional expectation with respect to gaussian distribution. | |
Functions | |
GaussRollback | cfl::NGaussRollback::binomial () |
GaussRollback | cfl::NGaussRollback::crankNicolson (const Function &rVarStep) |
GaussRollback | cfl::NGaussRollback::crankNicolson (double dVarStepCoeff=c_dCrankNicolsonVarStepCoeff) |
GaussRollback | cfl::NGaussRollback::implicit (const Function &rVarStep) |
GaussRollback | cfl::NGaussRollback::implicit (double dVarStepCoeff=c_dImplicitVarStepCoeff) |
GaussRollback | cfl::NGaussRollback::improved (const GaussRollback &rFast=crankNicolson(), const Function &rUniformSteps=Function(c_iImprovedExplicitSteps), const Function &rImplicitSteps=Function(c_iImprovedImplicitSteps)) |
GaussRollback | cfl::NGaussRollback::uniform () |
Variables | |
const double | cfl::NGaussRollback::c_dCrankNicolsonVarStepCoeff = 0.1 |
const double | cfl::NGaussRollback::c_dImplicitVarStepCoeff = 10. |
const int | cfl::NGaussRollback::c_iImprovedExplicitSteps = 30 |
const int | cfl::NGaussRollback::c_iImprovedImplicitSteps = 10 |
This file is dealing with numerical implementation of the operator of conditional expectation with respect to gaussian distribution.