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(
	FeynmanKac. IPdeCoefficients pdeCoeffs
)

Public Sub New ( 
	pdeCoeffs As FeynmanKac. IPdeCoefficients
)

public:
FeynmanKac(
	FeynmanKac. IPdeCoefficients^ pdeCoeffs
)

new : 
        pdeCoeffs : FeynmanKac. IPdeCoefficients -> FeynmanKac

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).