QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
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NumericalDifferentiation Class Reference

Numerical Differentiation on arbitrarily spaced grids. More...

#include <ql/experimental/math/numericaldifferentiation.hpp>

Inherits unary_function< Real, Real >.

Public Types

enum  Scheme { Central, Backward, Forward }
 

Public Member Functions

 NumericalDifferentiation (const boost::function< Real(Real)> &f, Size orderOfDerivative, const Array &x_offsets)
 
 NumericalDifferentiation (const boost::function< Real(Real)> &f, Size orderOfDerivative, Real stepSize, Size steps, Scheme scheme)
 
Real operator() (Real x) const
 
const Arrayoffsets () const
 
const Arrayweights () const
 

Detailed Description

Numerical Differentiation on arbitrarily spaced grids.

References:

B. Fornberg, 1988. Generation of Finite Difference Formulas on Arbitrarily Spaced Grids, http://amath.colorado.edu/faculty/fornberg/Docs/MathComp_88_FD_formulas.pdf