Constructs a PDE solver to solve the Feynman-Kac PDE.

Namespace: Imsl.Math
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.0.0

Syntax

C#
public FeynmanKac(
	FeynmanKac..::.IPdeCoefficients pdeCoeffs
)
Visual Basic (Declaration)
Public Sub New ( _
	pdeCoeffs As FeynmanKac..::.IPdeCoefficients _
)
Visual C++
public:
FeynmanKac(
	FeynmanKac..::.IPdeCoefficients^ pdeCoeffs
)

Parameters

pdeCoeffs
Type: Imsl.Math..::.FeynmanKac..::.IPdeCoefficients
Implementation of interface IPdeCoefficients that computes the values of the Feynman-Kac coefficients at a given point (t,x).

See Also