FeynmanKac Constructor

Constructs a PDE solver to solve the Feynman-Kac PDE.

Namespace: Imsl.Math
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0

Syntax

public FeynmanKac(
	FeynmanKacIPdeCoefficients pdeCoeffs
)

Public Sub New ( 
	pdeCoeffs As FeynmanKacIPdeCoefficients
)

public:
FeynmanKac(
	FeynmanKacIPdeCoefficients^ pdeCoeffs
)

new : 
        pdeCoeffs : FeynmanKacIPdeCoefficients -> FeynmanKac

pdeCoeffs: Type: Imsl.MathFeynmanKacIPdeCoefficients
Implementation of interface IPdeCoefficients that computes the values of the Feynman-Kac coefficients at a given point (t,x).