A simple solver for PDEs of the convection-diffusion type.
To use, define the equation as a child of the conv_diff_pde class and apply an existing FDM method to it, or implement new methods under the FDMBase parent class. Plan is to add new numerical methods as time goes, possibly for comparison with each other and/or with analytical solutions where available (such as the Black-Scholes model)
Project is inspired by an article of https://www.quantstart.com/, and some parts of their code are used here.