Re: [Quantlib-dev] ODE

[Luigi B. <lui...@gm...>]

Hi Peter,
    I've added your code to the ql/experimental/math folder.

Thanks,
    Luigi


On Fri, Sep 14, 2012 at 9:47 PM, Peter Caspers <pca...@gm...> wrote:
> Hi Luigi,
> here are some tests. I hope they are sufficient for the moment.
> Thank you, have a nice weekend
> Peter
>
> Am 12.09.2012 14:17, schrieb Luigi Ballabio:
>
>> Hi Peter,
>>      no, there's no support in the library.  And yes, a unit test would
>> be nice :)
>>
>> Thanks,
>>      Luigi
>>
>> On Sat, Sep 8, 2012 at 7:20 PM, Peter Caspers<pca...@gm...>
>> wrote:
>>>
>>> Hi Luigi, Nando,
>>> is there support for ODE integration in QuantLib ? I think I looked for
>>> it
>>> several times but did not find anything obvious.
>>> I have translated the Runge Kutta method from the numerical recipes to
>>> QuantLib style (or my perception of it ;-) ) with support for real and
>>> complex valued ODEs. If you want, you can add it to the lib. Also, if you
>>> want I can provide a unit test.
>>> with regards
>>> Peter
>>>
>>>
>