QuantLib: Finite-differences framework

### A free/open-source library for quantitative finance

# Finite-differences framework

## Detailed Description

This framework (corresponding to the ql/FiniteDifferences directory) contains basic building blocks for the numerical solution of partial differential equations by means of finite-difference methods.

## Classes
class | BoundaryCondition
| Abstract boundary condition class for finite difference problems. More...
class | NeumannBC
| Neumann boundary condition (i.e., constant derivative). More...
class | DirichletBC
| Neumann boundary condition (i.e., constant value). More...
class | BSMOperator
| Black-Scholes-Merton differential operator. More...
class | CrankNicolson
| Crank-Nicolson scheme for finite difference methods. More...
class | DMinus
| matricial representation More...
class | DPlus
| matricial representation More...
class | DPlusDMinus
| matricial representation More...
class | DZero
| matricial representation More...
class | ExplicitEuler
| Forward Euler scheme for finite difference methods More...
class | FiniteDifferenceModel
| Generic finite difference model. More...
class | ImplicitEuler
| Backward Euler scheme for finite difference methods. More...
class | MixedScheme
| Mixed (explicit/implicit) scheme for finite difference methods. More...
class | OperatorFactory
| Black-Scholes-Merton differential operator. More...
class | StepConditionSet
| Parallel evolver for multiple arrays. More...
class | StepCondition
| condition to be applied at every time step More...
class | NullCondition
| null step condition More...
class | TridiagonalOperator
| Base implementation for tridiagonal operator. More...
## Typedefs
typedef PdeOperator< PdeBSM > | BSMTermOperator
| Black-Scholes-Merton differential operator.
typedef PdeOperator< PdeShortRate > | OneFactorOperator
| Interest-rate single factor model differential operator.

## Typedef Documentation

typedef PdeOperator<PdeBSM> BSMTermOperator

Black-Scholes-Merton differential operator.

Tests:
  coefficients are tested against constant BSM operator

typedef PdeOperator<PdeShortRate> OneFactorOperator

Interest-rate single factor model differential operator.