[Quantlib-dev] ODE

[Peter C. <pca...@gm...>]

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