1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
//! Finite-difference (PDE) solvers for 1-D, 2-D and 3-D problems, one
//! scheme per file — numerical kernels only, independent of any payoff or
//! grid, so they are usable as a standalone FD toolkit.
//!
//! **Linear kernels** (consumed by the equity FD engine,
//! [`equity::finite_difference`](crate::equity::finite_difference)):
//!
//! - [`tridiagonal`]: the Thomas algorithm for `A x = d` with a
//! tridiagonal `A` — the workhorse of every implicit 1-D step;
//! - [`brennan_schwartz`]: the Brennan-Schwartz sweep for the linear
//! complementarity problem `A x = d, x >= exercise` of American
//! exercise (one-sided obstacle, exact, O(n));
//! - [`psor`]: projected SOR for the general LCP — two-sided obstacles
//! (callable/putable structures) and the smoother inside splitting
//! schemes.
//!
//! **Multi-dimensional machinery** (for two/three-factor models such as
//! Heston or hybrid equity-rates):
//!
//! - [`axis_operator`]: [`TensorGrid`](axis_operator::TensorGrid) +
//! [`AxisOperator`](axis_operator::AxisOperator) — per-axis tridiagonal
//! operators with node-varying coefficients, with explicit application
//! and line-by-line implicit solves;
//! - [`adi`]: the Douglas and Hundsdorfer-Verwer ADI time steppers over
//! those operators, with mixed-derivative terms (correlation) handled
//! explicitly. One axis with no mixed term reduces exactly to the 1-D
//! theta scheme.
//!
//! Craig-Sneyd / Modified Craig-Sneyd steppers would slot into [`adi`]
//! alongside the existing two if ever needed.
pub use ;
pub use ;
pub use brennan_schwartz;
pub use ;
pub use thomas_algorithm;