C++ Framework and Design Patterns for SDE/FDM

Building Customisable High Performance C++ Applications

C++ Framework and Design Patterns for SDE/FDM

Postby Cuchulainn » Sun Mar 04, 2007 7:06 pm

Below are some results for well-known schemes. Predictor Corrector and Crank Nicolson give good results.



Milstein and Euletr methods give less accurate results in this case.



We use a class hierarchy of SDEs for 1 and n factors using a combination of inheritance and templates.



Extra functionality is achieved with _Visitor_ and _Decorator_. We just create new derived classes and can quickly test new models and schemes.
Attachments
SDE_1.xls
Number of steps = 50
(55 KiB) Downloaded 909 times
SDE_2.xls
Number of steps = 250
(391.5 KiB) Downloaded 785 times
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