sparse grid method in the libor market model. option valuation and the

Appendix A
Implementation Details
In this appendix, we present a brief list of software tools we employed throughout the
project:
1. C++, as the language of choice, allowed us to take advantage of the power of
templates, operator overloading and generic STL containers and algorithms.
2. Subgrids have been implemented on top of Blitz++ generic array library, described
in [Veldhuizen].
3. LMM PDE solver made use of the BiCGSTAB routine and supplimentary data
structures of the free-source iterative methods library, described in [Dongarra
et al.].
4. As in case of full grid, off-grid points of sparse grid solution need to be found
with interpolation. The current implementation of sparse grid solver doesn’t
provide a routine to interpolating non-uniform meshes, so this procedure has
been outsourced to Matlab. Interpolation of off-grid values has been peformed
as a post-processing step with griddata and griddata3 routines.
5. GnuPlot software came very handy in drawing pretty graphs and color-mapped
surfaces.
6. The text of the thesis has been typeset in L A TEX.
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