This is software written jointly with Paul Clifford in C++ to solve linear partial differential equations in one or more dimensions using finite-difference methods. For two-dimensional or higher problems a variety of dimension-splitting schemes are available to use. The software includes convergence analysis to determine if the scheme is attaining it's theoretical properties.

The software is used in the PhD Workshop at the beginning of the Computational Methods for Pricing and Hedging Exotic Options conference organised by myself and Paul Clifford.

Following the above conference, the software will be made available for download.