adaptiverungekutta.hpp File Reference

Runge-Kutta ODE integration. More...

#include <ql/types.hpp>
#include <ql/errors.hpp>
#include <ql/utilities/disposable.hpp>
#include <boost/function.hpp>
#include <vector>
#include <cmath>

Include dependency graph for adaptiverungekutta.hpp:

Namespaces
	QuantLib

Detailed Description

Runge-Kutta ODE integration.

Runge Kutta method with adaptive stepsize as described in Numerical Recipes in C, Chapter 16.2