NAG C Library Manual, Mark 7 : d03 Chapter Contents

d03 – Partial Differential Equations

Routine Name	Mark of Introduction	Purpose
d03ncc Example Text Example Data	7	nag_pde_bs_1d Finite difference solution of the Black–Scholes equations
d03ndc Example Text Example Data	7	nag_pde_bs_1d_analytic Analytic solution of the Black–Scholes equations
d03nec Example Text Example Data	7	nag_pde_bs_1d_means Compute average values for d03ndc
d03pcc Example Text	7	nag_pde_parab_1d_fd General system of parabolic PDEs, method of lines, finite differences, one space variable
d03pdc Example Text	7	nag_pde_parab_1d_coll General system of parabolic PDEs, method of lines, Chebyshev C⁰ collocation, one space variable
d03pec Example Text	7	nag_pde_parab_1d_keller General system of first-order PDEs, method of lines, Keller box discretisation, one space variable
d03pfc Example Text	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 Example Text	7	nag_pde_parab_1d_fd_ode General system of parabolic PDEs, coupled DAEs, method of lines, finite differences, one space variable
d03pjc Example Text	7	nag_pde_parab_1d_coll_ode General system of parabolic PDEs, coupled DAEs, method of lines, Chebyshev C⁰ collocation, one space variable
d03pkc Example Text	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 Example Text Example Data	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 Example Text	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 Example Text	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 Example Text	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 Example Text Example Data	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 Example Text Example Data	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

Chapter Introduction

NAG C Library Manual