Numerical Differentiation on arbitrarily spaced grids. More...
#include <ql/experimental/math/numericaldifferentiation.hpp>
Inherits unary_function< Real, Real >.
Public Types | |
| enum | Scheme { Central, Backward, Forward } |
Public Member Functions | |
| NumericalDifferentiation (const boost::function< Real(Real)> &f, Size orderOfDerivative, const Array &x_offsets) | |
| NumericalDifferentiation (const boost::function< Real(Real)> &f, Size orderOfDerivative, Real stepSize, Size steps, Scheme scheme) | |
| Real | operator() (Real x) const |
| const Array & | offsets () const |
| const Array & | weights () const |
Numerical Differentiation on arbitrarily spaced grids.
References:
B. Fornberg, 1988. Generation of Finite Difference Formulas on Arbitrarily Spaced Grids, http://amath.colorado.edu/faculty/fornberg/Docs/MathComp_88_FD_formulas.pdf