|
Routine Name |
Mark of Introduction |
Purpose |
| d03ncc | 7 |
nag_pde_bs_1d
Finite difference solution of the Black–Scholes equations |
| d03ndc | 7 |
nag_pde_bs_1d_analytic
Analytic solution of the Black–Scholes equations |
| d03nec | 7 |
nag_pde_bs_1d_means
Compute average values for d03ndc |
| d03pcc | 7 |
nag_pde_parab_1d_fd
General system of parabolic PDEs, method of lines, finite differences, one space variable |
| d03pdc | 7 |
nag_pde_parab_1d_coll
General system of parabolic PDEs, method of lines, Chebyshev C0 collocation, one space variable |
| d03pec | 7 |
nag_pde_parab_1d_keller
General system of first-order PDEs, method of lines, Keller box discretisation, one space variable |
| d03pfc | 7 |
nag_pde_parab_1d_cd
General system of convection-diffusion PDEs with source terms in conservative form, method of lines, upwind scheme using numerical flux function based on Riemann solver, one space variable |
| d03phc | 7 |
nag_pde_parab_1d_fd_ode
General system of parabolic PDEs, coupled DAEs, method of lines, finite differences, one space variable |
| d03pjc | 7 |
nag_pde_parab_1d_coll_ode
General system of parabolic PDEs, coupled DAEs, method of lines, Chebyshev C0 collocation, one space variable |
| d03pkc | 7 |
nag_pde_parab_1d_keller_ode
General system of first-order PDEs, coupled DAEs, method of lines, Keller box discretisation, one space variable |
| d03plc | 7 |
nag_pde_parab_1d_cd_ode
General system of convection-diffusion PDEs with source terms in conservative form, coupled DAEs, method of lines, upwind scheme using numerical flux function based on Riemann solver, one space variable |
| d03ppc | 7 |
nag_pde_parab_1d_fd_ode_remesh
General system of parabolic PDEs, coupled DAEs, method of lines, finite differences, remeshing, one space variable |
| d03prc | 7 |
nag_pde_parab_1d_keller_ode_remesh
General system of first-order PDEs, coupled DAEs, method of lines, Keller box discretisation, remeshing, one space variable |
| d03psc | 7 |
nag_pde_parab_1d_cd_ode_remesh
General system of convection-diffusion PDEs with source terms in conservative form, coupled DAEs, method of lines, upwind scheme using numerical flux function based on Riemann solver, remeshing, one space variable |
| d03puc | 7 |
nag_pde_parab_1d_euler_roe
Roe's approximate Riemann solver for Euler equations in conservative form, for use with d03pfc, d03plc and d03psc |
| d03pvc | 7 |
nag_pde_parab_1d_euler_osher
Osher's approximate Riemann solver for Euler equations in conservative form, for use with d03pfc, d03plc and d03psc |
| d03pwc | 7 |
nag_pde_parab_1d_euler_hll
Modified HLL Riemann solver for Euler equations in conservative form, for use with d03pfc, d03plc and d03psc |
| d03pxc | 7 |
nag_pde_parab_1d_euler_exact
Exact Riemann Solver for Euler equations in conservative form, for use with d03pfc, d03plc and d03psc |
| d03pyc | 7 |
nag_pde_interp_1d_coll
PDEs, spatial interpolation with d03pdc or d03pjc |
| d03pzc | 7 |
nag_pde_interp_1d_fd
PDEs, spatial interpolation with d03pcc, d03pec, d03pfc, d03phc, d03pkc, d03plc, d03ppc, d03prc or d03psc |