CFL
Classes | Namespaces | Functions | Variables
GaussRollback.hpp File Reference

Conditional expectation with respect to gaussian distribution. More...

#include "cfl/Function.hpp"
#include "cfl/Inline/iGaussRollback.hpp"
Include dependency graph for GaussRollback.hpp:
This graph shows which files directly or indirectly include this file:

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
 

Detailed Description

Author
Dmitry Kramkov
Date
2000-2006

This file is dealing with numerical implementation of the operator of conditional expectation with respect to gaussian distribution.