Last updated: 2023-03-16.

Module: tf_quant_finance.math.pde.steppers

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Steppers for PDE solvers.

Modules

composite_stepper module: Composition of two time marching schemes.

crank_nicolson module: Crank-Nicolson time marching scheme for parabolic PDEs.

douglas_adi module: Douglas ADI method for solving multidimensional parabolic PDEs.

explicit module: Explicit time marching scheme for parabolic PDEs.

extrapolation module: Extrapolation time marching scheme for parabolic PDEs.

implicit module: Implicit time marching scheme for parabolic PDEs.

multidim_parabolic_equation_stepper module: Stepper for multidimensional parabolic PDE solving.

oscillation_damped_crank_nicolson module: Crank-Nicolson with oscillation damping time marching scheme.

parabolic_equation_stepper module: Stepper for parabolic PDEs solving.

weighted_implicit_explicit module: Weighted implicit-explicit time marching scheme for parabolic PDEs.