QuoteOriginally posted by: hateequeThanks R. Although, it seems to have alot of the matrix manipulation routines (LU etc.) , I dont see SOR implemented there. Could you point me to the right module please?can you describe PDE or FDM. Is it one-factor or n-factor?Sometimes you can use PSOR for Americans but even that is not necessary.You should avoid iterative methods IMHO if appropriate 'direct' method are available.Is matrix tridiagonal? P.S. I kind of remember this question being asked some time ago on Wilmott.
Last edited by Cuchulainn
on September 4th, 2006, 10:00 pm, edited 1 time in total.