/usr/include/ql/methods/finitedifferences/dplusdminus.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file dplusdminus.hpp
\brief \f$ D_{+}D_{-} \f$ matricial representation
*/
#ifndef quantlib_d_plus_d_minus_h
#define quantlib_d_plus_d_minus_h
#include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
namespace QuantLib {
//! \f$ D_{+}D_{-} \f$ matricial representation
/*! The differential operator \f$ D_{+}D_{-} \f$ discretizes the
second derivative with the second-order formula
\f[ \frac{\partial^2 u_{i}}{\partial x^2} \approx
\frac{u_{i+1}-2u_{i}+u_{i-1}}{h^2} = D_{+}D_{-} u_{i}
\f]
\ingroup findiff
\test the correctness of the returned values is tested by
checking them against numerical calculations.
*/
class DPlusDMinus : public TridiagonalOperator {
public:
DPlusDMinus(Size gridPoints, Real h);
};
// inline definitions
inline DPlusDMinus::DPlusDMinus(Size gridPoints, Real h)
: TridiagonalOperator(gridPoints) {
setFirstRow(0.0,0.0); // linear extrapolation
setMidRows(1/(h*h),-2/(h*h),1/(h*h));
setLastRow(0.0,0.0); // linear extrapolation
}
}
#endif
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