Constructs a PDE solver to solve the Feynman-Kac PDE.
Namespace:
Imsl.Math
Assembly:
ImslCS (in ImslCS.dll) Version: 6.5.0.0
Syntax
| C# |
|---|
public FeynmanKac( FeynmanKac..::.IPdeCoefficients pdeCoeffs ) |
| Visual Basic (Declaration) |
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Public Sub New ( _ pdeCoeffs As FeynmanKac..::.IPdeCoefficients _ ) |
| Visual C++ |
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public: FeynmanKac( FeynmanKac..::.IPdeCoefficients^ pdeCoeffs ) |
Parameters
- pdeCoeffs
- Type: Imsl.Math..::.FeynmanKac..::.IPdeCoefficients
Implementation of interface IPdeCoefficients that computes the values of the Feynman-Kac coefficients at a given point (t,x).
